STATISTICAL SIGNIFICANCE OF PERIODICITY AND LOG-PERIODICITY WITH HEAVY-TAILED CORRELATED NOISE

Wei-Xing Zhou and Didier Sornette
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Didier Sornette: Institute of Geophysics and Planetary Physics, University of California, Los Angeles, CA 90095, USA;

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 02, 137-169

Abstract: We estimate the probability that random noise, of several plausible standard distributions, creates a false alarm that a periodicity (or log-periodicity) is found in a time series. The solution of this problem is already known for independent Gaussian distributed noise. We investigate more general situations with non-Gaussian correlated noises and present synthetic tests on the detectability and statistical significance of periodic components. A periodic component of a time series is usually detected by some sort of Fourier analysis. Here, we use the Lomb periodogram analysis, which is suitable and outperforms Fourier transforms for unevenly sampled time series. We examine the false-alarm probability of the largest spectral peak of the Lomb periodogram in the presence of power-law distributed noises, of short-range and of long-range fractional-Gaussian noises. Increasing heavy-tailness (respectively correlations describing persistence) tends to decrease (respectively increase) the false-alarm probability of finding a large spurious Lomb peak. Increasing anti-persistence tends to decrease the false-alarm probability. We also study the interplay between heavy-tailness and long-range correlations. In order to fully determine if a Lomb peak signals a genuine rather than a spurious periodicity, one should in principle characterize the Lomb peak height, its width and its relations to other peaks in the complete spectrum. As a step towards this full characterization, we construct the joint-distribution of the frequency position (relative to other peaks) and of the height of the highest peak of the power spectrum. We also provide the distributions of the ratio of the highest Lomb peak to the second highest one. Using the insight obtained by the present statistical study, we re-examine previously reported claims of "log-periodicity" and find that the credibility for log-periodicity in 2D-freely decaying turbulence is weakened while it is strengthened for fracture, for the ion-signature prior to the Kobe earthquake and for financial markets.

Keywords: Discrete scale invariance; scaling; periodicity; statistical tests; Lomb periodogram; power spectrum (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (19)

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DOI: 10.1142/S0129183102003024

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