Testing That a Stationary Time Series is Gaussian
检验平稳时间序列是否为高斯过程
A class of procedures is proposed for testing the composite hypothesis that a stationary stochastic process is Gaussian. Requiring very limited prior knowledge about the structure of the process, the tests rely on quadratic forms in deviations of certain sample statistics from their population counterparts, minimized with respect to the unknown parameters. A specific test is developed, which employs differences between components of the sample and Gaussian characteristic…