A new method to detect periodically correlated structure |
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Authors: | Mohammad Reza Mahmoudi Mohsen Maleki |
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Affiliation: | 1.Department of Statistics, College of Science,Fasa University,Fasa,Iran;2.Department of Statistics,Shiraz University,Shiraz,Iran |
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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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