How to determine if a time series is covariance stationary?

Hi everyone.

Given a matrix where each row represents a different time how can I determine if said matrix is covariance stationary i.e. the time series it represents is covariance stationary?

I have read that one can use the Augmented Dickey Fuller Test but I am not sure how to go about it.

Any help would be very much appreciated.

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 Perhaps try at stats.stackexchange.com – David Roberts Aug 8 2011 at 23:51