Cointegration and Nonstationarity in the Context of Multiresolution Analysis

Abstract

Cointegration has established itself as a powerful means of projecting out long-term trends from time-series data in the context of econometrics. Recent work by the current authors has further established that cointegration can be applied profitably in the context of structural health monitoring (SHM), where it is desirable to project out the effects of environmental and operational variations from data in order that they do not generate false positives in diagnostic tests. The concept of cointegration is partly built on a clear understanding of the ideas of stationarity and nonstationarity for time-series. Nonstationarity in this context is 'traditionally' established through the use of statistical tests, e.g. the hypothesis test based on the augmented Dickey-Fuller statistic. However, it is important to understand the distinction in this case between 'trend' stationarity and stationarity of the AR models typically fitted as part of the analysis process. The current paper will discuss this distinction in the context of SHM data and will extend the discussion by the introduction of multi-resolution (discrete wavelet) analysis as a means of characterising the time-scales on which nonstationarity manifests itself. The discussion will be based on synthetic data and also on experimental data for the guided-wave SHM of a composite plate.