Computational Statistics

, Volume 32, Issue 4, pp 1569–1581 | Cite as

A new method to detect periodically correlated structure

Original Paper
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Abstract

In this paper, we introduce a new method to test whether a discrete-time periodically correlated model explains an observed time series. The proposed method is based on the estimation of the support of spectral measure. Comparisons between our procedure and the methods which were proposed by Broszkiewicz-Suwaj et al. (Phys A 336:196–205, 2004) show that our testing procedure is more powerful. We investigate the performance of the proposed method by using real and simulated datasets.

Keywords

Periodically correlated Finite Fourier transform Spectral measure Multiple testing 

Notes

Acknowledgements

We would like to express our very great appreciation to associate editor and reviewer(s) for their valuable and constructive suggestions during the planning and development of this research work.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.Department of Statistics, College of ScienceFasa UniversityFasaIran
  2. 2.Department of StatisticsShiraz UniversityShirazIran

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