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Methods for determining the presence of periodic correlation based on the bootstrap methodology

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  • Ewa Broszkiewicz-Suwaj
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    Abstract

    This paper presents methods for detecting the period of non Gaussian PC processes. A new statistic for testing periodic correlation is proposed. It is based on the bootstrap procedure which is used to estimate confidence intervals of coherence statistic. This method is linked to that of Hurd and Gerr based on Goodman's tests so both methodologies are also compared. It is demonstrated that in some situations the new test appears to be better.

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_02.pdf
    File Function: Original version, 2003
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    Bibliographic Info

    Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/03/02.

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    Length: 8 pages
    Date of creation: 2003
    Date of revision:
    Handle: RePEc:wuu:wpaper:hsc0302

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    Related research

    Keywords: Periodic correlation; Bootstrap; Spectral representation;

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