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On Detecting a Signal in N Stationarily Correlated Noise Series

 

作者: RobertH. Shumway,  

 

期刊: Technometrics  (Taylor Available online 1971)
卷期: Volume 13, issue 3  

页码: 499-519

 

ISSN:0040-1706

 

年代: 1971

 

DOI:10.1080/00401706.1971.10488814

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A useful model in the analysis of multiple time series is to assume that each series is composed of a fixed signal common to all series and a wide sense stationary normal noise process. If the noise series are uncorrelated with identical autocorrelation functions, we have in the time domain a collection of independent normal vectors with a common covariance matrix. The likelihood ratio statistic for detecting the signal is then a singular version of Hotelling'sT2.

 

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