Global and local spectral-based tests for periodicities

Wei, L. and Craigmile, P.F. (2010) Global and local spectral-based tests for periodicities. Biometrika, 97(1), pp. 223-230. (doi: 10.1093/biomet/asp079)

Abstract

We investigate tests for periodicity based on a spectral analysis of a time series, differentiating between global and local spectral-based tests. Global tests use information across the entire frequency band,whereas local tests are based on a window around the test frequency.We show that many spectral-based tests can be expressed in terms of a regression-based F test, which allows for approximate size and power calculations. Since global tests are usually derived assuming white noise errors, we extend to the correlated noise case. We demonstrate via a Monte Carlo study that although the global test may have better size and power, local tests are easier to use, and are comparable or better in terms of the power to detect periodicities, especially for spectra with a large dynamic range. We apply this methodology to a nonbehavioural test of hearing.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Craigmile, Dr Peter
• Authors: Wei, L., and Craigmile, P.F.
• College/School: College of Science and Engineering > School of Mathematics and Statistics > Statistics
• Journal Name: Biometrika
• ISSN: 0006-3444
• ISSN (Online): 1464-3510