论文标题
异性噪声下的白噪声测试
Multi-frequency-band tests for white noise under heteroskedasticity
论文作者
论文摘要
本文通过使用最大重叠离散小波数据包转换（MODWPT），提出了一个新的多频频段（MFB）测试对白噪声假设进行的新系列。 MODWPT允许将过程的方差分解为不同相等频率频段上其组件的方差的方差，然后MFB测试在几个频率子频段上共同测量了基于MODWPT的方差比与其理论上的零值之间的距离。所得的MFB测试在轻度条件下具有卡方的渐近零分布，从而使数据成为异性疾病。 MFB测试显示出通过模拟研究具有理想的尺寸和功率性能，并且通过两种应用进一步说明了它们的实用性。
This paper proposes a new family of multi-frequency-band (MFB) tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform (MODWPT). The MODWPT allows the variance of a process to be decomposed into the variance of its components on different equal-length frequency sub-bands, and the MFB tests then measure the distance between the MODWPT-based variance ratio and its theoretical null value jointly over several frequency sub-bands. The resulting MFB tests have the chi-squared asymptotic null distributions under mild conditions, which allow the data to be heteroskedastic. The MFB tests are shown to have the desirable size and power performance by simulation studies, and their usefulness is further illustrated by two applications.
