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Testing for unspecified periodicities in binary time series

Journal of Time Series Analysis (JTSA), 2024
Main:14 Pages
Bibliography:2 Pages
6 Tables
Abstract

Given independent random variables Y1,,YnY_1, \ldots, Y_n with Yi{0,1}Y_i \in \{0,1\} we test the hypothesis whether the underlying success probabilities pip_i are constant or whether they are periodic with an unspecified period length of r2r \ge 2. The test relies on an auxiliary integer dd which can be chosen arbitrarily, using which a new time series of length dd is constructed. For this new time series, the test statistic is derived according to the classical gg test by Fisher. Under the null hypothesis of a constant success probability it is shown that the test keeps the level asymptotically, while it has power for most alternatives, i.e. typically in the case of r3r \ge 3 and where rr and dd have common divisors.

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