A test sensitive to extreme hidden periodicities

被引：3

作者：

Arsham, H

机构：

[1] Information Systems Research Center, Merrick School of Business, University of Baltimore, Baltimore

来源：

STOCHASTIC HYDROLOGY AND HYDRAULICS | 1997年 / 11卷 / 04期

关键词：

Kolmogorov-Smirnov test; identification of periodic component; goodness-of-fit test for white noise; periodogram; residuals;

D O I：

10.1007/BF02427922

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

A modified version of the widely used Kolmogorov-Smirnov (K-S) test of null hypothesis is constructed, that a given time series is Gaussian white noise, against the alternative hypothesis that the time series contains an added or multiplicative deterministic-periodic component of unspecified frequency. The usual KS test is treated as a special case. The proposed test is more powerful than the ordinary K-S test in detecting extreme (low or high) hidden periodicities. Computational procedure necessary for implementation are also given.

引用

页码：323 / 330

页数：8

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