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A nonparametric procedure to detect periods in time series

Author

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  • Miescke, Klaus-J.
  • Pöppel, Ernst

Abstract

Suppose that for a given time series the experimenter knows that it has a certain periodic property and that he wishes to find out the length of the period. For this problem a nonparametric procedure is proposed. It consists of a new smoothing technique based on Kendall's Tau and a specific counting method. The procedure is studied under a simple model of periodic time series which are composed of periodic (deterministic) functions, a linear trend and exchangeable (stochastic) sequences. The performance of the procedure is illustrated by a simple example.

Suggested Citation

  • Miescke, Klaus-J. & Pöppel, Ernst, 1982. "A nonparametric procedure to detect periods in time series," Stochastic Processes and their Applications, Elsevier, vol. 13(3), pages 319-325, September.
    • Handle: RePEc:eee:spapps:v:13:y:1982:i:3:p:319-325
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