A test sensitive to extreme hidden periodicities |
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| Authors: | H Arsham |
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| Institution: | (1) Information Systems Research Center, Merrick School of Business, University of Baltimore, 21201 Baltimore, MD, USA |
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| Abstract: | 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. |
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| Keywords: | Kolmogorov-Smirnov test identification of periodic component goodness-of-fit test for white noise periodogram residuals |
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