Adnan Al-Smadi
Tests for Gaussianity of a Stationary Time Series
1562 - 1566
2007
1
10
International Journal of Electronics and Communication Engineering
https://publications.waset.org/pdf/2851
https://publications.waset.org/vol/10
World Academy of Science, Engineering and Technology
One of the primary uses of higher order statistics in
signal processing has been for detecting and estimation of non
Gaussian signals in Gaussian noise of unknown covariance. This is
motivated by the ability of higher order statistics to suppress additive
Gaussian noise. In this paper, several methods to test for non
Gaussianity of a given process are presented. These methods include
histogram plot, kurtosis test, and hypothesis testing using cumulants
and bispectrum of the available sequence. The hypothesis testing is
performed by constructing a statistic to test whether the bispectrum
of the given signal is nonzero. A zero bispectrum is not a proof of
Gaussianity. Hence, other tests such as the kurtosis test should be
employed. Examples are given to demonstrate the performance of the
presented methods.
Open Science Index 10, 2007