Adaptive Test for White Noise
Erhard Reschenhofer · Biometrika · 1989
Since conventional tests for white noise are completely insensitive to certain alternatives, it is difficult in a particular application to decide which test to use if one has no a priori information about the kind of departure from whiteness. Therefore, an alternative test is proposed which may be applied in case of arbitrary stationary alternatives. This test procedure is adaptive in that first the real part of the finite Fourier transform of the data is used to choose appropriate frequencies and then the significance of the imaginary part at these frequencies is tested.