By Topic

Time-domain procedures for testing that a stationary time-series is Gaussian

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$33 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
E. Moulines ; Dept. of Signal Process., Ecole Nat. Superieure des Telecommun., Paris, France ; K. Choukri

A class of time-domain procedures for testing that a stationary time-series is Gaussian is presented and analyzed. These tests are based on the deviations of the sample value of finite memory nonlinear transformations of the process from their ensemble averaged counterparts. Asymptotic distributions of these tests are derived under the null hypothesis of Gaussianity and under a class of local and fixed alternatives. Specific tests are then developed, based, respectively, on higher order moments and on the characteristic functions. Practical construction of the test statistics is discussed, with a special emphasis on the estimation of the covariance of the sample statistics, which appears to play a key role in the performance of the tests when dealing with `small' samples

Published in:

IEEE Transactions on Signal Processing  (Volume:44 ,  Issue: 8 )