The white-noise tag has no wiki summary.
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Predictions of a monthly temperature time series: adding noise to the predicted values
I am doing predictions on monthly temperature data for 100 years, from 1901 to 2000 (i.e 1200 data points). I want to know if the method I follow is correct because in my output, I do not see the ...
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1answer
34 views
How to correctly model noise?
Assume a linear mixing model $x = As$, where $x = (x_{0}, ..., x_{n})^T$ are linear mixtures of $s = (s_{0}, ..., s_{n})^T$, and $A$ is the mixing matrix.
Now, if I introduce additive noise to this ...
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33 views
Whitening data and testing for correlation
Before I start I would like to mention that I do NOT have a mathematical background, so please answer in a ... easy to follow manner.
I'm testing 2 sets of stock market data (Shanghai Stock exchange ...
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1answer
99 views
Why is it called white noise? [closed]
I know, that the white noise is called "white noise", because it comes from physics and has something to do with the spectral decompoistion (is that right?) of the white light? I am not familiar with ...
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0answers
82 views
Pre-whitening of AR(2) time series
I'm working on a time-series problem. Consider the model below:
$$Y = \beta_0 + \beta_1*t + \beta_2 * \sin(wt) + \beta_3 * \cos(wt) + \epsilon$$
For now, assume that $\epsilon$ is AR(2) with KNOWN ...
2
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2answers
203 views
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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2
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0answers
81 views
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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0answers
109 views
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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0answers
126 views
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 ...
6
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1answer
477 views
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:
...
2
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2answers
136 views
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 ...
1
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1answer
30 views
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 ...
6
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2answers
920 views
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 ...
2
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2answers
302 views
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 ...
4
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0answers
86 views
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 ...
6
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1answer
77 views
Is there a classification of physical measurements according to their statistical distribution?
I am looking for a document or research articles classifying physical or chemical measurements (or perhaps better means of measurement) according to the reference statistical distribution and ...
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1answer
392 views
Formal statistical test for whether a process is a white noise
Is there a formal statistical test to test if process is a white noise?
