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- Title
Periodically correlated modeling by means of the periodograms asymptotic distributions.
- Authors
Nematollahi, A.; Soltani, A.; Mahmoudi, M.
- Abstract
In this paper, we introduce a test statistics to test whether a discrete time periodically correlated model with a given spectral density explains an observed time series. Our testing procedure is based on an application of the asymptotic distribution of the periodogram established in Soltani and Azimmohseni (Stat Plan Inference 137:1236-1242, 2007). We make comparisons between our procedure and the methods that are proposed by Broszkiewicz-Suwaj et al. (Physica A 336:196-205, 2004). It is observed that our testing procedure is more powerful. We illustrate the performance of the proposed methods in real and simulated data sets.
- Subjects
TIME series analysis; ASYMPTOTIC distribution; STATISTICAL correlation; SPECTRAL energy distribution; SIMULATION methods in testing
- Publication
Statistical Papers, 2017, Vol 58, Issue 4, p1267
- ISSN
0932-5026
- Publication type
Article
- DOI
10.1007/s00362-016-0748-9