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Zbl 0462.62069
Siegel, Andrew F.
Testing for periodicity in a time series. (English)
[J] J. Am. Stat. Assoc. 75, 345-348 (1980). ISSN 0162-1459; ISSN 1537-274X/e

Summary: A one-parameter family of tests for periodicity in a time series is proposed that contains Fisher's test as a special case. Some tests in this family have substantially larger power than Fisher's test against many alternatives, yet retain comparable power against those alternatives for which Fisher's test is optimal. A Monte Carlo power study establishes this and also provides a basis for the selection of a test from this family. Critical values are obtained by using a duality with the problem of covering a circle with random arcs.

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MSC 2000:: *62M10 Time series, etc. (statistics)
60D05 Geometric probability
65C05 Monte Carlo methods
65C99 Numerical simulation

Keywords: testing periodicity; time series; periodogram; Fisher test; random coverage; random spacings

Citations: JFM 55.0950.16

Cited in: Zbl 0883.62094 Zbl 0657.62110 Zbl 0541.62070 Zbl 0528.62075

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