R help - Jul 2007 - When is the periodogram is consistent with white noise?

Hello everyone,

 

This is my first time posting to the list, thanks in advance.

 

I am calculating the smoothed periodogram for the residuals of an AR model
that I fit to EEG data. The autocorrelation plot of the residuals shows the
series is now approximately white (i.e. ACF = 1 at lag 0, and close to 0 for
all other lags). I would like to show that the spectrum of the series is
also approximately white.  When I calculate the periodogram using
spec.pgram, what I get indeed looks white, but I would like to add
horizontal threshold lines between which one can be 95% confident the
spectrum is white.

 

Thanks,

 

-Andre


	[[alternative HTML version deleted]]

A  programme I wrote in R could be relevant. The reference is I. Lobato and
C. Velasco, Econometric Theory, Vol.20, 2004, "A Simple and General Test
for
White Noise". The acf function and the spec.pgram function are used to
produce a transformed von Mises statistic which is approx. N(0,4). Tests are
standard and finite sample values are easily generated. The programme seems
to work OK in experiments using random numbers and AR1 series. If there is
any interest I can supply a script file.

Andre Bastos wrote:
> 
> Hello everyone,
> 
>  
> 
> This is my first time posting to the list, thanks in advance.
> 
>  
> 
> I am calculating the smoothed periodogram for the residuals of an AR model
> that I fit to EEG data. The autocorrelation plot of the residuals shows
> the
> series is now approximately white (i.e. ACF = 1 at lag 0, and close to 0
> for
> all other lags). I would like to show that the spectrum of the series is
> also approximately white.  When I calculate the periodogram using
> spec.pgram, what I get indeed looks white, but I would like to add
> horizontal threshold lines between which one can be 95% confident the
> spectrum is white.
> 
>  
> 
> Thanks,
> 
>  
> 
> -Andre
> 
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 
-- 
View this message in context:
http://www.nabble.com/When-is-the-periodogram-is-consistent-with-white-noise--tf4050952.html#a12930061
Sent from the R help mailing list archive at Nabble.com.