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How to test if a time series is a white noise?

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silicon
silicon 2013-10-6
回答： Youssef Khmou 2013-10-6
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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回答（2 个）

Azzi Abdelmalek
Azzi Abdelmalek 2013-10-6
编辑：Azzi Abdelmalek 2013-10-6
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) ...]
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silicon
silicon 2013-10-6
According to the definition of white noise, X(t) for each t is a a random variable with 0 mean. So we have n random variables here. We should not calculate mean of [x(1) x(2) ...]

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Youssef Khmou
Youssef Khmou 2013-10-6
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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