A Test for Spectrum Flatness

K. Drouiche

Journal of Time Series Analysis, 2007, vol. 28, issue 6, 793-806

Abstract: 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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:6:p:793-806

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