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Keywords:
improvement of Fisher test of periodicity; time series
improvement of Fisher test of periodicity; time series
Summary:
Fisher's test of periodicity in time series and Siegel's version of this test for compound periodicities are investigated in the paper. An improvement increasing the power of the test is suggested and demonstrated by means of numerical simulations.
References:
[1] J. Anděl: Statistical analysis of time series. SNTL, Prague, 1976 (in Czech).
[2] R. A. Fisher: Tests of significance in harmonic analysis. Proc. Roy. Soc. A 125 (1929), 54-59.
[3] R. A. Fisher: The sampling distribution of some statistics obtained from non-linear equations. Annals of Eugenics 9 (1939), 238-249. DOI 10.1111/j.1469-1809.1939.tb02211.x | MR 0001499
[4] R. A. Fisher: On the similarity of the distribution found for the test of significance in harmonic analysis and in Steven's problem in geometrical probability. Annals of Eugenics 10 (1940), 14-17. DOI 10.1111/j.1469-1809.1940.tb02233.x | MR 0002079
[5] A. F. Siegel: Testing for periodicity in a time series. Journal of the American Statistical Association 75 (1980), 345-348. DOI 10.1080/01621459.1980.10477474 | Zbl 0462.62069
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