# Tagged Questions

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### Diagnostic for VAR model. non normal

I have some problem about my model. my model is based on VAR. (vector auto-.) well, I've tested ARCH test, BG test(autocorrelation p) and jarque.bera.test. Model is stable. Also I got good result for ...
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### Is this process an AR(1)?

The following process $X$ is generated as the sum of a structure $y$ and an $AR(1)$ process with $\phi=0.4$ and $\sigma_{\epsilon}^2=1$: ...
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### Strange results of Ljung-Box test (for white noise process)

Ljung Box test tells that the following time series is white noise (p=0.9746845 for the current run). How could this be? ...
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### Estimating noise variance

I want to know how can we estimate the noise variance from noisy observations. Lets say. I have a variable x that has mean u and variance $\sigma^2$. Now lets say I have 100 samples of this variables. ...
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### Random walk with drift are differences white noise?

If I have a random walk without drift the differences form a white noise process. But what happens if I incorporate a drift $d$? Does this still hold true? I'm not sure because with the drift term d: ...
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### Classification accuracy is better with noise added?

I'm making a system to classify 2 class motor-imagery EEG of human brain. I use simple Low Pass Filter to pre-process the data (with or without added noise). I'm using LDA as my classifier. To test ...
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### White noise for level, log and log differences data sets

I am using eviews 7 and I have 3 data sets for DAX stock market index: level (dax), log (ldax), and log differences (dldax). I need to check whether the error terms of these data sets are white noise ...
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### Statistical test for whether a process is a red noise

We know that red noise is the same as a ﬁrst-order autoregressive (AR(1)) stationary Gaussian process with a positive correlation at unit lag. Does there exist some formal statistical test for red ...
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### Box-Ljung test on white noise series

I generate this data in R: set.seed(111) ds=rnorm(1000) When I perform Box-Ljung test to test the independency: ...
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### Optimization of an objective function with noise

I want to estimate the parameters that minimize a multivariate function with noise based on realized observations. As a simple example, say I have observed the univariate sample below: The samples ...
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### Noise correlations depending on distance

If one has noise being generated over time $t\in[a,b]$, and the correlations of the value of the noise at times $t_0$ and $t_1$ turn out to be distributed according to a density function that depends ...
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### Testing normality and independence of time series residuals

The simplest form of a white noise process is where its observations are uncorrelated. We can check this by applying e.g. a portmanteau test such as Lung - Box or Box - Pierce. The series might be ...
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### Why does noisy data result in better prediction performance?

I have tested a regression framework's robustness to noise and I have noticed in some cases that adding noise improves the prediction performance and in other cases the performance degrades. What ...
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### Determing noise type and level of noise

Context I have a set of data that was collected from several inertial measurement units (orientation and acceleration data). I want to determine to what extent an inference method degrades when the ...