Fisher's g Revisited

Barry G. Quinn

International Statistical Review, 2021, vol. 89, issue 2, 402-419

Abstract: In 1929, Fisher proposed a test for periodicity based on the largest periodogram ordinate. If the true frequency lies between two consecutive Fourier frequencies and the signal to noise ratio is low, the test may conclude that there is no periodicity. This loss of power was noted by Whittle in 1952, as well as the necessary assumption that the noise be white. Whittle and subsequent authors suggested remedies for the white noise assumption. This paper proposes simple tests, based on the Fourier coefficients, that is, the Fourier transforms at the Fourier frequencies, that have good power properties at all frequencies.

Date: 2021
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