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A Test for Spectrum Flatness

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  • K. Drouiche

Abstract

. We investigate a new tool for measuring whiteness. We first introduce a quantity which has suitable properties for constructing a test for randomness. We provide the exact asymptotic power of our test. Finally, we experimentally assess the power and usefulness of our test.

Suggested Citation

  • K. Drouiche, 2007. "A Test for Spectrum Flatness," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 793-806, November.
    • Handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:793-806
    DOI: 10.1111/j.1467-9892.2007.00523.x
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    References listed on IDEAS

    as
    1. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    2. Kheoh, Thian S. & McLeod, A. Ian, 1992. "Comparison of two modified portmanteau tests for model adequacy," Computational Statistics & Data Analysis, Elsevier, vol. 14(1), pages 99-106, June.
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    Cited by:

    1. Tucker S. McElroy & Anindya Roy, 2022. "Model identification via total Frobenius norm of multivariate spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 473-495, April.

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