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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