Testing that a multivariate stationary time-series is Gaussian

E. Moulines; K. Choukri; M. Sharbit

doi:10.1109/SSAP.1992.246818

Testing that a multivariate stationary time-series is Gaussian

E. Moulines
, K. Choukri
, M. Sharbit

Telecom Paris

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

These tests are based on quadratic form in deviations of certain sample statistics from their ensemble counterpart, minimised with respect to the unknown parameters. They are shown to converge under the null hypothesis to a chi-squared distribution. A specific test is developed on the basis of the difference between the sample estimate and the ensemble average characteristic functions. Preliminary results demonstrate the discriminative power of the test against various types of alternatives.

Original language	English
Title of host publication	1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	185-188
Number of pages	4
ISBN (Electronic)	0780305086, 9780780305083
DOIs	https://doi.org/10.1109/SSAP.1992.246818
Publication status	Published - 1 Jan 1992
Event	6th IEEE SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Victoria, Canada Duration: 7 Oct 1992 → 9 Oct 1992

Publication series

Name	1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings

Conference

Conference	6th IEEE SP Workshop on Statistical Signal and Array Processing, SSAP 1992
Country/Territory	Canada
City	Victoria
Period	7/10/92 → 9/10/92

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10.1109/SSAP.1992.246818

Cite this

Moulines, E., Choukri, K., & Sharbit, M. (1992). Testing that a multivariate stationary time-series is Gaussian. In 1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings (pp. 185-188). Article 246818 (1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/SSAP.1992.246818

Moulines, E. ; Choukri, K. ; Sharbit, M. / Testing that a multivariate stationary time-series is Gaussian. 1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings. Institute of Electrical and Electronics Engineers Inc., 1992. pp. 185-188 (1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings).

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abstract = "These tests are based on quadratic form in deviations of certain sample statistics from their ensemble counterpart, minimised with respect to the unknown parameters. They are shown to converge under the null hypothesis to a chi-squared distribution. A specific test is developed on the basis of the difference between the sample estimate and the ensemble average characteristic functions. Preliminary results demonstrate the discriminative power of the test against various types of alternatives.",

author = "E. Moulines and K. Choukri and M. Sharbit",

note = "Publisher Copyright: {\textcopyright} 1992 IEEE.; 6th IEEE SP Workshop on Statistical Signal and Array Processing, SSAP 1992 ; Conference date: 07-10-1992 Through 09-10-1992",

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doi = "10.1109/SSAP.1992.246818",

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Moulines, E, Choukri, K & Sharbit, M 1992, Testing that a multivariate stationary time-series is Gaussian. in 1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings., 246818, 1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings, Institute of Electrical and Electronics Engineers Inc., pp. 185-188, 6th IEEE SP Workshop on Statistical Signal and Array Processing, SSAP 1992, Victoria, Canada, 7/10/92. https://doi.org/10.1109/SSAP.1992.246818

Testing that a multivariate stationary time-series is Gaussian. / Moulines, E.; Choukri, K.; Sharbit, M.
1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings. Institute of Electrical and Electronics Engineers Inc., 1992. p. 185-188 246818 (1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N2 - These tests are based on quadratic form in deviations of certain sample statistics from their ensemble counterpart, minimised with respect to the unknown parameters. They are shown to converge under the null hypothesis to a chi-squared distribution. A specific test is developed on the basis of the difference between the sample estimate and the ensemble average characteristic functions. Preliminary results demonstrate the discriminative power of the test against various types of alternatives.

AB - These tests are based on quadratic form in deviations of certain sample statistics from their ensemble counterpart, minimised with respect to the unknown parameters. They are shown to converge under the null hypothesis to a chi-squared distribution. A specific test is developed on the basis of the difference between the sample estimate and the ensemble average characteristic functions. Preliminary results demonstrate the discriminative power of the test against various types of alternatives.

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DO - 10.1109/SSAP.1992.246818

M3 - Conference contribution

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Moulines E, Choukri K, Sharbit M. Testing that a multivariate stationary time-series is Gaussian. In 1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings. Institute of Electrical and Electronics Engineers Inc. 1992. p. 185-188. 246818. (1992 IEEE 6th SP Workshop on Statistical Signal and Array Processing, SSAP 1992 - Conference Proceedings). doi: 10.1109/SSAP.1992.246818

Testing that a multivariate stationary time-series is Gaussian

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