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Testing for the presence of sinusoidal components

Published online by Cambridge University Press:  14 July 2016

B. G. Quinn
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Abstract

Approximate and asymptotic distributional results are obtained for the likelihood ratio test of the hypothesis that a time series is composed from s sinusoidal components, at unknown frequencies, with additive Gaussian white noise, against the hypothesis that there are an additional r sinusoidal components at unknown frequencies. The work extends that of Fisher (1929), and contains a number of simulations illustrating the results.

Keywords

PERIODOGRAM ORDINATESLIKELIHOOD RATIO
Type
Part 3—Hypothesis Testing and Distribution Theory for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 201 - 210
Copyright
Copyright © 1986 Applied Probability Trust 

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References

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