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Keywords:
test for periodicity; time series; dependent observations
test for periodicity; time series; dependent observations
Summary:
It is proved that Hannan's procedure for statistical test of periodicity in the case of time series with dependent observations can be combined with Siegel's improvement of the classical Fischer's test of periodicity. Simulations performed in the paper show that this combination can increase the power of Hannan's test when at least two periodicities are present in the time series with dependent observations.
References:
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