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A new method to detect periodically correlated structure

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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.

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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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Authors and Affiliations

  1. Department of Statistics, College of Science, Fasa University, Fasa, Iran

    Mohammad Reza Mahmoudi

  2. Department of Statistics, Shiraz University, Shiraz, 71454, Iran

    Mohsen Maleki

Authors
  1. Mohammad Reza Mahmoudi
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  2. Mohsen Maleki
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Correspondence to Mohammad Reza Mahmoudi.

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Mahmoudi, M.R., Maleki, M. A new method to detect periodically correlated structure. Comput Stat 32, 1569–1581 (2017). https://doi.org/10.1007/s00180-016-0705-z

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  • DOI: https://doi.org/10.1007/s00180-016-0705-z

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