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
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