GRAPHICAL METHODS FOR DETERMINING THE PRESENCE OF PERIODIC CORRELATION

Harry L. Hurd and Neil L. Gerr

Journal of Time Series Analysis, 1991, vol. 12, issue 4, 337-350

Abstract: Abstract. Methods for determining whether an observed time series is, or contains, a periodically correlated sequence are presented. They are based on the fact that the support of the spectral measure for a harmonizable periodically correlated stochastic sequence is contained in a set of equally spaced lines parallel to the main diagonal in the bifrequency plane. We show how a coherence statistic devised by N. R. Goodman can be used to test for the presence of spectral support (correlation) along diagonal lines, thus providing a test for the presence of periodic correlation. Plots of this coherence statistic as a function of two frequency variables visually reveal the presence of diagonal support lines. Two additional tests for the presence of diagonal support lines are constructed by collapsing the two‐dimensional coherence plots into one‐dimensional plots of difference frequency.

Date: 1991
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