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 language | English |
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Pages (from-to) | 201-210 |
Number of pages | 6 |
Journal | Journal of Applied Probability |
Volume | 23 |
DOIs | |
Publication status | Published - 1986 |
Externally published | Yes |
Keywords
- periodogram ordinates
- likelihood ratio