For univariate time series, derive step-by-step the test for white noise based on the partial autocorrelation function.
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For univariate time series, derive step-by-step the test for white noise based on the partial autocorrelation function. Hint: You can assume that the threshold in the test will be constant over all lags h > 0, therefore it suffices to find the threshold value at a single lag
Related Book For
Principles of Communications Systems, Modulation and Noise
ISBN: 978-8126556793
7th edition
Authors: Rodger E. Ziemer, William H. Tranter
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