Testing Stationarity with Surrogates — A One-Class SVM Approach

Abstract : An operational framework is developed for testing stationarity relatively to an observation scale, in both stochastic and deterministic contexts. The proposed method is based on a comparison between global and local time-frequency features. The originality is to make use of a family of stationary surrogates for defining the null hypothesis and to base on them a statistical test implemented as a one-class Support Vector Machine. The time-frequency features extracted from the surrogates are considered as a learning set and used to detect departure from stationnarity. The principle of the method is presented, and some results are shown on typical models of signals that can be thought of as stationary or nonstationary, depending on the observation scale used.
Complete list of metadatas

Cited literature [18 references]  Display  Hide  Download

https://hal-ens-lyon.archives-ouvertes.fr/ensl-00175481
Contributor : Pierre Borgnat <>
Submitted on : Friday, September 28, 2007 - 12:50:45 PM
Last modification on : Monday, September 16, 2019 - 4:35:46 PM
Long-term archiving on : Friday, April 9, 2010 - 3:04:17 AM

File

ssp07_0000720.pdf
Publisher files allowed on an open archive

Identifiers

  • HAL Id : ensl-00175481, version 1

Collections

Citation

Jun Xiao, Pierre Borgnat, Patrick Flandrin, Cédric Richard. Testing Stationarity with Surrogates — A One-Class SVM Approach. 2007 IEEE/SP 14th Statistical Signal Processing Workshop (SSP '07), IEEE/SP, Aug 2007, Madison, Wisconsin, United States. pp.720-724. ⟨ensl-00175481⟩

Share

Metrics

Record views

348

Files downloads

264