TY - GEN
T1 - HOS or SOS for parametric modeling?
AU - Giannakis, G. B.
AU - Tsatsanis, M. K.
PY - 1991
Y1 - 1991
N2 - Parametric models obtained via second-order statistics (SOS) are appropriate when the available stationary data are linear, Gaussian, and time-reversible. On the other hand, evidence of nonlinearity, non-Gaussianity, or time-irreversibility favors the use of higher-order statistics (HOS). To quantify normality and time-reversibility, and thus resolve the title question, consistent, time-domain statistical tests are developed and analyzed in a Neyman-Pearson framework. The novel test statistics are computationally attractive and streamlined towards parametric modeling because they employ the minimal HOS lags which uniquely characterize autoregressive moving-average processes. Simulations illustrate the performance of the proposed tests.
AB - Parametric models obtained via second-order statistics (SOS) are appropriate when the available stationary data are linear, Gaussian, and time-reversible. On the other hand, evidence of nonlinearity, non-Gaussianity, or time-irreversibility favors the use of higher-order statistics (HOS). To quantify normality and time-reversibility, and thus resolve the title question, consistent, time-domain statistical tests are developed and analyzed in a Neyman-Pearson framework. The novel test statistics are computationally attractive and streamlined towards parametric modeling because they employ the minimal HOS lags which uniquely characterize autoregressive moving-average processes. Simulations illustrate the performance of the proposed tests.
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U2 - 10.1109/icassp.1991.150110
DO - 10.1109/icassp.1991.150110
M3 - Conference contribution
AN - SCOPUS:0026377389
SN - 0780300033
T3 - Proceedings - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing
SP - 3097
EP - 3100
BT - Proceedings - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing
PB - Publ by IEEE
T2 - Proceedings of the 1991 International Conference on Acoustics, Speech, and Signal Processing - ICASSP 91
Y2 - 14 May 1991 through 17 May 1991
ER -