一种基于互相关系数的白噪声不相关性检验方法

The uncorrelated test method of white noise based on cross correlation coefficient

目前对于白噪声的不相关性,已经有正态性检验法和χ2检验法等检验方法,但这些方法各有其局限性。提出了一种基于互相关系数检验白噪声不相关性的方法,利用互相关系数描述两个序列之间的相关性,当这两个序列分别用白噪声序列和它相应的时移值序列代替时,其互相关系数即可用来评价白噪声的不相关性。该方法在一定程度上解决了以往白噪声不相关性检验方法的局限性。

The uncorrelated test of white noise can be implemented by test methods like the normal test method and χ 2 distribution method etc. But all these methods have their limitations. It proposes an uncorrelated test method of white noise based on cross correlation coefficient, descries the correlation of two sequences and their cross-correlation coefficient. While these two sequences are substituted by white noise sequence and the corresponding time shift values sequence, then their cross-correlation coefficient can be used to the uncorrelated test of white noise. This method resolves the limitations of conventional white noise uncorrelated test methods to some extent.