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@@ -5,7 +5,7 @@ Matlab functions to test the stationarity of a random process
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The N-th order stationarity [1] of a random process is assessed using two tests. In the present submission, only the first and second-order stationarities are described. A random process is stationary at the first order if its mean does not change (significantly) with the time. Similarly, a random process is stationary at the second-order if its variance or standard deviation does not change (significantly) with the time.
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The LiveScript example considers the case of turbulent velocity time histories. Their stationarity is assessed using two different approaches:
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- A non-parametric test [2] called reverse-arrangement test, which detects trends and classify the time as non-stationary if the trend is not negligible.
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- A non-parametric test [2,3], which detects trends and classify the time as non-stationary if the trend is not negligible.
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- A parametric test based on moving-window functions that compare the instantaneous mean or standard deviation to the one obtained without any detrending.
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To run the examples, you will need some additional functions:
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