Testing for the presence of sinusoidal components

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6 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)201-210
Number of pages6
JournalJournal of Applied Probability
Volume23
DOIs
Publication statusPublished - 1986
Externally publishedYes

Keywords

  • periodogram ordinates
  • likelihood ratio

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