Periodically correlated modeling by means of the periodograms asymptotic distributions

In this paper, we introduce a test statistics to test whether a discrete time periodically correlated model with a given spectral density explains an observed time series. Our testing procedure is based on an application of the asymptotic distribution of the periodogram established in Soltani and Az...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 2017-12, Vol.58 (4), p.1267-1278
Main Authors: Nematollahi, A. R., Soltani, A. R., Mahmoudi, M. R.
Format: Article
Language:English
Subjects:
Asymptotic methods
Computer simulation
Economic models
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Finance
Insurance
Management
Mathematics and Statistics
Operations Research/Decision Theory
Probability Theory and Stochastic Processes
Regression analysis
Regular Article
Statistical tests
Statistics
Statistics for Business
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Summary:In this paper, we introduce a test statistics to test whether a discrete time periodically correlated model with a given spectral density explains an observed time series. Our testing procedure is based on an application of the asymptotic distribution of the periodogram established in Soltani and Azimmohseni (Stat Plan Inference 137:1236–1242, 2007 ). We make comparisons between our procedure and the methods that are proposed by Broszkiewicz-Suwaj et al. (Physica A 336:196–205, 2004 ). It is observed that our testing procedure is more powerful. We illustrate the performance of the proposed methods in real and simulated data sets.
ISSN:0932-5026
1613-9798
DOI:10.1007/s00362-016-0748-9