Periodically correlated modeling by means of the periodograms asymptotic distributions

A. R. Nematollahi (), A. R. Soltani and M. R. Mahmoudi
Additional contact information
A. R. Nematollahi: Shiraz University
A. R. Soltani: Shiraz University
M. R. Mahmoudi: Shiraz University

Statistical Papers, 2017, vol. 58, issue 4, No 14, 1267-1278

Abstract: Abstract In this paper, we introduce a test statistics to test whether a discrete time periodically correlated model with a given spectral density explains an observed time series. Our testing procedure is based on an application of the asymptotic distribution of the periodogram established in Soltani and Azimmohseni (Stat Plan Inference 137:1236–1242, 2007). We make comparisons between our procedure and the methods that are proposed by Broszkiewicz-Suwaj et al. (Physica A 336:196–205, 2004). It is observed that our testing procedure is more powerful. We illustrate the performance of the proposed methods in real and simulated data sets.

Keywords: Periodically correlated time series; Periodogram; Multiple testing; Periodograms asymptotic distributions (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00362-016-0748-9

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