How to test if a time series is a white noise?
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How to test if a time series x(t) (t=1,2...n) is a white noise?
x(t) does not have to be Gaussian. kstest() will not work. autocorr(X) only test auto-correlation; it does not show the mean at each t is zero.
Thanks
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Azzi Abdelmalek
2013년 10월 6일
편집: Azzi Abdelmalek
2013년 10월 6일
At each time t you have one value, the mean of this value is not supposed to be 0. You should calculate the mean of [x(1) x(2) ...]
Youssef Khmou
2013년 10월 6일
white noise i.e flat power spectral density .
% time serie X
F=abs(fft(X));
plot(F(1:end/2)); % shape?
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