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A test of homogeneity for autoregressive processes
Author(s) -
Gómez Rafael Martínez Pedro,
Drouiche Karim
Publication year - 2002
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.697
Subject(s) - autoregressive model , star model , homogeneity (statistics) , mathematics , randomness , statistics , statistical hypothesis testing , econometrics , autoregressive integrated moving average , time series
In this paper, we introduce a new hypothesis test to determine whether or not two spectral densities are proportional. We deliberately limit our study to autoregressive processes and derive the asymptotic behaviour of the test. A test for autoregressive coefficient nullity or randomness is deduced. We derive asymptotic behaviour for these tests and show the usefulness of our test to detect speech in a noisy environment. Copyright © 2002 John Wiley & Sons, Ltd.