高阶交叉渐近方差及其在快速白噪声检验中的应用

On the Asymptotic Variance of Higher Order Crossings with Special Reference to a Fast White Noise Test

Biometrika · 1986
被引 0
ABS 4

中文导读

研究了平稳m相依高斯序列高阶交叉方差的递减速率,给出了快速近似公式,并用于白噪声检验的概率界限计算,在模拟和真实数据中验证了效果。

Abstract

The rate of decrease in the variance of higher order crossings is obtained for stationary m-dependent Gaussian sequences. This result provides a quick approximation to the variance of the number of axis-crossings of m-dependent processes, and is applied in determining approximate probability limits for the higher order crossings of white noise. The limits are used in testing for white noise in simulated and also real data examples.

时间序列分析白噪声检验高斯过程统计推断