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时间序列周期性的检验

Testing for Periodicity in a Time Series

Journal of the American Statistical Association · 1980
被引 22
ABS 4

中文导读

提出一族检验时间序列周期性的方法,其中包含Fisher检验作为特例。该族中某些检验在多种备择假设下功效显著高于Fisher检验,且对Fisher最优的备择假设仍保持可比功效。蒙特卡洛研究提供了选择依据,临界值通过随机弧覆盖圆的对偶问题获得。

Abstract

Abstract A one-parameter family of tests for periodicity in a time series is proposed that contains Fisher's test as a special case. Some tests in this family have substantially larger power than Fisher's test against many alternatives, yet retain comparable power against those alternatives for which Fisher's test is optimal. A Monte Carlo power study establishes this and also provides a basis for the selection of a test from this family. Critical values are obtained by using a duality with the problem of covering a circle with random arcs.

时间序列分析统计检验计量经济学