DocumentCode :
851781
Title :
The minimum discrepancy measure: its use in univariate white noise tests
Author :
Chen, Rong-Ming ; Chang, Shyang
Author_Institution :
Dept. of Electr. Eng., Nat. Tsing Hua Univ., Hsinchu, Taiwan
Volume :
41
Issue :
2
fYear :
1993
fDate :
2/1/1993 12:00:00 AM
Firstpage :
935
Lastpage :
939
Abstract :
A white noise test based on a minimum discrepancy measure (MDM) is proposed. The corresponding MDM testing rule is consistent in the sense that it will determine the correct statistics of the observed time series as the number of data samples tends to infinity. Simulation results are given to illustrate the effectiveness of the testing algorithm
Keywords :
information theory; signal processing; statistical analysis; time series; white noise; ARMA process; MDM testing rule; minimum discrepancy measure; statistics; time series; univariate white noise tests; Autocorrelation; Delay; H infinity control; Noise measurement; Nonlinear filters; Polynomials; Signal processing algorithms; Statistical analysis; Testing; White noise;
fLanguage :
English
Journal_Title :
Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
1053-587X
Type :
jour
DOI :
10.1109/78.193230
Filename :
193230
Link To Document :
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