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A test sensitive to extreme hidden periodicities

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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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Authors and Affiliations

  1. Information Systems Research Center, Merrick School of Business, University of Baltimore, 21201, Baltimore, MD, USA

    H. Arsham

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  1. H. Arsham
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Arsham, H. A test sensitive to extreme hidden periodicities. Stochastic Hydrol Hydraul 11, 323–330 (1997). https://doi.org/10.1007/BF02427922

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  • DOI: https://doi.org/10.1007/BF02427922

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