Investigation of periodicity for dependent observations

Tomáš Cipra

Aplikace matematiky (1984)

  • Volume: 29, Issue: 2, page 134-142
  • ISSN: 0862-7940

Abstract

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It is proved that Hannan's procedure for statistical test of periodicity in the case of time series with dependent observations can be combined with Siegel's improvement of the classical Fischer's test of periodicity. Simulations performed in the paper show that this combination can increase the power of Hannan's test when at least two periodicities are present in the time series with dependent observations.

How to cite

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Cipra, Tomáš. "Investigation of periodicity for dependent observations." Aplikace matematiky 29.2 (1984): 134-142. <http://eudml.org/doc/15340>.

@article{Cipra1984,
abstract = {It is proved that Hannan's procedure for statistical test of periodicity in the case of time series with dependent observations can be combined with Siegel's improvement of the classical Fischer's test of periodicity. Simulations performed in the paper show that this combination can increase the power of Hannan's test when at least two periodicities are present in the time series with dependent observations.},
author = {Cipra, Tomáš},
journal = {Aplikace matematiky},
keywords = {test for periodicity; time series; dependent observations; test for periodicity; time series; dependent observations},
language = {eng},
number = {2},
pages = {134-142},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Investigation of periodicity for dependent observations},
url = {http://eudml.org/doc/15340},
volume = {29},
year = {1984},
}

TY - JOUR
AU - Cipra, Tomáš
TI - Investigation of periodicity for dependent observations
JO - Aplikace matematiky
PY - 1984
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 29
IS - 2
SP - 134
EP - 142
AB - It is proved that Hannan's procedure for statistical test of periodicity in the case of time series with dependent observations can be combined with Siegel's improvement of the classical Fischer's test of periodicity. Simulations performed in the paper show that this combination can increase the power of Hannan's test when at least two periodicities are present in the time series with dependent observations.
LA - eng
KW - test for periodicity; time series; dependent observations; test for periodicity; time series; dependent observations
UR - http://eudml.org/doc/15340
ER -

References

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