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Zbl 0541.62070
Cipra, Tomáš
Investigation of periodicity for dependent observations. (English)
[J] Apl. Mat. 29, 134-142 (1984). ISSN 0373-6725

Summary: It is proved that {\it E. J. Hannan's} procedure [J. R. Stat. Soc., Ser. B 23, 394-404 (1961; Zbl 0109.128)] for a statistical test for periodicity in the case of time series with dependent observations can be combined with {\it A. F. Siegel's} [J. Am. Stat. Assoc. 75, 345-348 (1980; Zbl 0462.62069)] improvement of the classical {\it R. A. Fisher's} test of periodicity [Tests of significance in harmonic analysis. Proc. R. Soc. Lond., Ser. A 125, 54-59 (1929)]. Simulations performed in the paper show that this combination can increase the power of Hannan's test when at least two periodicities are present in the time series with dependent observations.

MSC 2000:: *62M10 Time series, etc. (statistics)
62M07 Non-Markovian processes: hypothesis testing

Keywords: test for periodicity; time series; dependent observations

Citations: Zbl 0109.128; Zbl 0462.62069

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