重访Fisher的g检验

Fisher's g Revisited

International Statistical Review · 2021
被引 3
ABS 3

中文导读

Fisher在1929年提出基于最大周期图坐标的周期性检验,但若真实频率位于两个傅里叶频率之间且信噪比低,检验可能失效。本文提出基于傅里叶系数的简单检验,在所有频率上都有良好的检验功效。

Abstract

Summary In 1929, Fisher proposed a test for periodicity based on the largest periodogram ordinate. If the true frequency lies between two consecutive Fourier frequencies and the signal to noise ratio is low, the test may conclude that there is no periodicity. This loss of power was noted by Whittle in 1952, as well as the necessary assumption that the noise be white. Whittle and subsequent authors suggested remedies for the white noise assumption. This paper proposes simple tests, based on the Fourier coefficients, that is, the Fourier transforms at the Fourier frequencies, that have good power properties at all frequencies.

时间序列分析周期检测谱分析统计检验