Periodically correlated modeling by means of the periodograms asymptotic distributions
type: Item
instance of: scholarly article
title: Periodically correlated modeling by means of the periodograms asymptotic distributions
zbMATH Open document ID: 1416.62518
author: Peng Zhang
published in: Statistical Papers
publication date: 2017-12-13T00:00:00Z
review text: The authors introduce a test statistics to test whether a discrete time periodically correlated model with a given spectral density explains an observed time series. Their proposed testing procedure is based on an application of the asymptotic distribution of the periodogram established in [the second author and \textit{M. Azimmohseni}, J. Stat. Plann. Inference 137, No. 4, 1236--1242 (2007; Zbl 1107.62100)]. They make comparisons between their suggested procedure and the methods that were proposed by \textit{E. Broszkiewicz-Suwaj} et al. [``On detecting and modeling periodic correlation in financial data'', Phys. A 336, No. 1--2, 196--205 (2004; \url{doi:10.1016/j.physa.2004.01.025})]. It is observed that their testing procedure is more powerful. The performance of the proposed methods is illustrated in real and simulated data sets.
reviewed by: János Sztrik
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 62J15
zbMATH DE Number: 6818225
zbMATH Keywords: periodically correlated time series
zbMATH Keywords: periodogram
zbMATH Keywords: multiple testing
zbMATH Keywords: periodograms asymptotic distributions
describes a project that uses: fdrtool
MaRDI profile type: Publication
full work available at URL: s00362-016-0748-9
OpenAlex ID: W2262102522
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DOI: 10.1007/S00362-016-0748-9
description: scientific article; zbMATH DE number 6818225