Signal Stationarity Estimation with Matlab

version 1.5.0 (302 KB) by Hristo Zhivomirov
Estimation whether a given signal is wide-sense stationarity using a novel method.

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Updated 21 Oct 2022

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The presented codes here are two Matlab functions for wide-sense stationarity (WSS) estimation of a signal (e.g., time series) using a novel method developed in two variants. The first variant uses an inference statistical approach (for instance, it implements the Wilcoxon rank sum test and the Brown-Forsythe test), while the second one is purely empirical – it estimates the WSS of the signal "as it is" via comparison of its time-localized summary statistics (mean, variance, covariance), without any assumptions about the underling process or the population.
The functions provide a computation of four Boolean flags for:
1) overall wide-sense stationarity i.e., simultaneous stationarity about mean, variance and autocovariance;
2) stationarity about the mean;
3) stationarity about the variance (and hence about the RMS-value);
4) time-invariance of the autocovariance (and hence of the autocorrelation and PSD).
A few examples are given in order to clarify the usage of the functions. For convenience, the input and output arguments are given in the beginning of each function.
The codes are based on the theory described in:
[1] H. Zhivomirov, I. Nedelchev. A Method for Signal Stationarity Estimation. Romanian Journal of Acoustics and Vibration, ISSN: 1584-7284, Vol. XVII, No. 2, pp. 149-155, 2020. (http://rjav.sra.ro/index.php/rjav/article/view/178/103).
[2] --- a research article dedicated to the second variant of the novel WSS estimation method is about to come by the end of December 2022. ---

Cite As

H. Zhivomirov, I. Nedelchev. A Method for Signal Stationarity Estimation. Romanian Journal of Acoustics and Vibration, ISSN: 1584-7284, Vol. XVII, No. 2, pp. 149-155, 2020. (http://rjav.sra.ro/index.php/rjav/article/view/178/103).

Hristo Zhivomirov (2022). Signal Stationarity Estimation with Matlab (https://www.mathworks.com/matlabcentral/fileexchange/75118-signal-stationarity-estimation-with-matlab), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017b
Compatible with any release
Platform Compatibility
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