A new method to detect periodically correlated structure
- 110 Downloads
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.
KeywordsPeriodically correlated Finite Fourier transform Spectral measure Multiple testing
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.
- Broszkiewicz-Suwaj E (2003) Methods for determining the presence of periodic correlation based on the bootstrap methodology. Hugo Steinhaus Center research report HSC/03/2. http://www.im.pwr.wroc.pl/~hugo/Publications.html
- Nematollahi AR, Soltani AR, Mahmoudi MR (2016) Periodically correlated modeling by means of the periodograms asymptotic distributions. Stat Pap 1–12. doi: 10.1007/s00362-016-0748-9
- Nord Pool Annual Report (2002) Nord pool ASAGoogle Scholar