Title :
Multi-scale test procedure for non-stationarity in short and long memory time series
Author :
Kouamo, Olaf ; Gouy-Pailler, C.
Author_Institution :
LIST, CEA, Gif-sur-Yvette, France
Abstract :
In this paper, we develop a test procedure for non-stationarity for possibly long-memory processes. Contrary to most of the proposed methods, the test procedure has the same distribution for short-range and long-range dependence stationary processes. Such tests have been already proposed in [1], but these authors do not have taken into account the dependence of the wavelet coefficients within scales and between scales. We also propose an application to electric power consumption monitoring.
Keywords :
power consumption; spectral analysis; time series; wavelet transforms; electric power consumption monitoring; long memory time series; long-memory processes; long-range dependence stationary processes; multiscale test procedure; nonstationarity; short memory time series; short-range dependence stationary processes; spectral density; wavelet coefficients; Market research; Monitoring; Power systems; Probability; Rivers; Time series analysis; Wavelet transforms; Change points; Long memory process; Wavelet;
Conference_Titel :
Acoustics, Speech and Signal Processing (ICASSP), 2013 IEEE International Conference on
Conference_Location :
Vancouver, BC
DOI :
10.1109/ICASSP.2013.6638688