# Tag Info

3

Here is a possible explanation. Consider $X_t \sim N(0,1)$ and $Y_t \sim N(1,1)$. Then $(X_t)_0^n$ and $(Y_t)_0^n$ are realizations from stationary time series and I would expect the null hypothesis of stationarity not to be rejected (compatibly with the size of your test). Instead, the sample $(Z_t)_1^{2n} = (X_1, \dots, X_n, Y_1, \dots, Y_n)$ is drawn from ...

Only top voted, non community-wiki answers of a minimum length are eligible