Detecting stationarity in stochastic processes

Change-points, trends and transients

November 29, 2021 — April 1, 2022

Hilbert space
kernel tricks
signal processing
stochastic processes
Figure 1

Notes on detecting non-stationarity in stochastic processes/random fields.

Related: ensuring stability in a stochastic process. If we have a system with stable dynamics and keep the distribution of the inputs the same, then it will end up stationary.

Shay Palachy, Detecting stationarity in time series data.

1 Change point methods

See change points.

2 Nonparametric detection of changepoints

3 Spectral methods

4 References

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