Skip to main content
SpringerLink
Log in

Study of the Stationarity of Random Time Series Using the Principle of the Information-Divergence Minimum

  • Published:
Radiophysics and Quantum Electronics Aims and scope

Using the theoretic-information approach and the criterion of the information-divergence minimum in the Kullback–Leibler metric, we propose a new algorithm for checking the time series for stationarity in a broad sense. We consider an example of realizing this algorithm, study its dynamic characteristics, and give recommendations on its use under conditions of small samples.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. A. A. Borovkov, Mathematical Statistics [in Russian], Lan’, St.Petersburg (2010).

    Google Scholar 

  2. V. Yu. Belashov, E. S. Belashova, and A. I. Asadullin, Radiophys. Quantum Electron., 55, No. 9, 587 (2012).

    Article  ADS  Google Scholar 

  3. V.V. Savchenko, Radiophys. Quantum Electron., 58, No. 5, 373 (2015).

    Article  ADS  Google Scholar 

  4. http://www.jstor.org/stable/2286348?seq=1#page_scan_tab_contents.

  5. V.V. Savchenko and D.A. Ponomarev, Optoelectron. Instrument. Proc., 45, No. 1, 37 (2009).

    Google Scholar 

  6. S. Kullback, Information Theory and Statistics, Dover, New York (1997).

    MATH  Google Scholar 

  7. S. L. Marple, Jr., Digital Spectral Analysis and Applications Prentice-Hall Englewood Cliffs, N.J. (1987).

  8. V.V. Savchenko, Izv. Vyssh. Uchebn. Zaved., Radioélektron., No. 1, 17 (2011).

  9. P. H. M′,uller, P. Neumann, and R. Storm, Tafeln der Mathematischen Statistik, VEB Fachbuchverlag, Leipzig (1973).

  10. V. V. Savchenko, D. Yu. Akat’ev, N.V. Karpov, and D.A. Ponomarev, “Information system of phonetic analysis of continuous speech: Computer program,” Patent No. 2008615442 RF [in Russian], Application No. 2008614233 of September 15, 2008.

  11. V.V. Savchenko, Radiophys. Quantum Electron., 34, No. 3, 225 (1991).

    Article  ADS  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Nizhny Novgorod State Linguistic University, Nizhny Novgorod, Russia

    V.V. Savchenko

Authors
  1. V.V. Savchenko
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to V.V. Savchenko.

Additional information

Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 60, No. 1, pp. 89–96, January 2017.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Savchenko, V. Study of the Stationarity of Random Time Series Using the Principle of the Information-Divergence Minimum. Radiophys Quantum El 60, 81–87 (2017). https://doi.org/10.1007/s11141-017-9778-y

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11141-017-9778-y

Search

Navigation