A new method to detect periodically correlated structure

作者：Mahmoudi Mohammad Reza^*; Maleki Mohsen

来源：Computational Statistics, 2017, 32(4): 1569-1581.

DOI：10.1007/s00180-016-0705-z

• Periodically correlated
• Finite Fourier transform
• Spectral measure
• Multiple testing

In this paper, we introduce a new method to test whether a discrete-time periodically correlated model explains an observed time series. The proposed method is based on the estimation of the support of spectral measure. Comparisons between our procedure and the methods which were proposed by Broszkiewicz-Suwaj et al. (Phys A 336:196-205, 2004) show that our testing procedure is more powerful. We investigate the performance of the proposed method by using real and simulated datasets.

• 出版日期2017-12