A nonparametric procedure to detect periods in time series

Klaus-J. Miescke and Ernst Pöppel

Stochastic Processes and their Applications, 1982, vol. 13, issue 3, 319-325

Abstract: Suppose that for a given time series the experimenter knows that it has a certain periodic property and that he wishes to find out the length of the period. For this problem a nonparametric procedure is proposed. It consists of a new smoothing technique based on Kendall's Tau and a specific counting method. The procedure is studied under a simple model of periodic time series which are composed of periodic (deterministic) functions, a linear trend and exchangeable (stochastic) sequences. The performance of the procedure is illustrated by a simple example.

Keywords: Periodic; time; series; in; biology; nonparametric; estimation; of; periods; in; time; series; smoothing; techniques; for; times; series; Kendall's; Tau; rank; methods; in; time; series; analysis (search for similar items in EconPapers)
Date: 1982
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