The wavelet detection of hidden periodicities in time series

Yuan Li and Zhongjie Xie

Statistics & Probability Letters, 1997, vol. 35, issue 1, 9-23

Abstract: A wavelet method is applied to the detection of the hidden periodicities of a hidden periodic model in time series. By checking the empirical wavelet coefficients of the periodogram, which have significantly large absolute values across fine scale levels, the number of the hidden periodicities in the model is identified. Estimators of the hidden periodicities are given, and shown to be strongly consistent.

Keywords: Hidden; periodic; model; Periodogram; Wavelets (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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