Testing for the presence of sinusoidal components

B. G. Quinn

doi:10.2307/3214353

Testing for the presence of sinusoidal components

B. G. Quinn

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	201-210
Number of pages	6
Journal	Journal of Applied Probability
Volume	23
DOIs	https://doi.org/10.2307/3214353
Publication status	Published - 1986
Externally published	Yes

Keywords

periodogram ordinates
likelihood ratio

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10.2307/3214353

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title = "Testing for the presence of sinusoidal components",

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 ordinates, likelihood ratio",

author = "Quinn, {B. G.}",

year = "1986",

doi = "10.2307/3214353",

language = "English",

volume = "23",

pages = "201--210",

journal = "Journal of Applied Probability",

issn = "0021-9002",

publisher = "University of Sheffield",

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T1 - Testing for the presence of sinusoidal components

AU - Quinn, B. G.

PY - 1986

Y1 - 1986

N2 - 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.

AB - 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.

KW - periodogram ordinates

KW - likelihood ratio

U2 - 10.2307/3214353

DO - 10.2307/3214353

M3 - Article

VL - 23

SP - 201

EP - 210

JO - Journal of Applied Probability

JF - Journal of Applied Probability

SN - 0021-9002

ER -

Testing for the presence of sinusoidal components

Abstract

Keywords

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Cite this