A test for second-order stationarity of time series based on unsystematic sub-samples

In this paper, we introduce a new method for testing the stationarity of time series, where the test statistic is obtained from measuring and maximising the difference in the second-order structure over pairs of randomly drawn intervals. The asymptotic normality of the test statistic is established for both Gaussian and a range of non-Gaussian time series, and a bootstrap procedure is proposed for estimating the variance of the main statistics. Further, we show the consistency of our test under local alternatives. Due to the flexibility inherent in the random, unsystematic sub-samples used for test statistic construction, the proposed method is able to identify the intervals of significant departure from the stationarity without any dyadic constraints, which is an advantage over other tests employing systematic designs. We demonstrate its good finite sample performance on both simulated and real data, particularly in detecting localised departure from the stationarity

Time-varying parametric modelling and time-dependent spectral characterisation with applications to EEG signals using multi-wavelets

A new time-varying autoregressive (TVAR) modelling approach is proposed for nonstationary signal processing and analysis, with application to EEG data modelling and power spectral estimation. In the new parametric modelling framework, the time-dependent coefficients of the TVAR model are represented using a novel multi-wavelet decomposition scheme. The time-varying modelling problem is then reduced to regression selection and parameter estimation, which can be effectively resolved by using a forward orthogonal regression algorithm. Two examples, one for an artificial signal and another for an EEG signal, are given to show the effectiveness and applicability of the new TVAR modelling method

On signal-noise decomposition of timeseries using the continuous wavelet transform: Application to sunspot index

We show that the continuous wavelet transform can provide a unique decomposition of a timeseries in to 'signal-like' and 'noise-like' components: From the overall wavelet spectrum two mutually independent skeleton spectra can be extracted, allowing the separate detection and monitoring in even non-stationary timeseries of the evolution of (a) both stable but also transient, evolving periodicities, such as the output of low dimensional dynamical systems and (b) scale-invariant structures, such as discontinuities, self-similar structures or noise. An indicative application to the monthly-averaged sunspot index reveals, apart from the well-known 11-year periodicity, 3 of its harmonics, the 2-year periodicity (quasi-biennial oscillation, QBO) and several more (some of which detected previously in various solar, earth-solar connection and climate indices), here proposed being just harmonics of the QBO, in all supporting the double-cycle solar magnetic dynamo model (Benevolenskaya, 1998, 2000). The scale maximal spectrum reveals the presence of 1/f fluctuations with timescales up to 1 year in the sunspot number, indicating that the solar magnetic configurations involved in the transient solar activity phenomena with those characteristic timescales are in a self-organized-critical state (SOC), as previously proposed for the solar flare occurence (Lu and Hamilton, 1991).Comment: 22 pages, 2 figure