Testing for unspecified periodicities in binary time series
Statistics Theory
2024-10-15 v1 Statistics Theory
Abstract
Given independent random variables with we test the hypothesis whether the underlying success probabilities are constant or whether they are periodic with an unspecified period length of . The test relies on an auxiliary integer which can be chosen arbitrarily, using which a new time series of length is constructed. For this new time series, the test statistic is derived according to the classical 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 and where and have common divisors.
Cite
@article{arxiv.2410.10203,
title = {Testing for unspecified periodicities in binary time series},
author = {Finn Schmidtke and Mathias Vetter},
journal= {arXiv preprint arXiv:2410.10203},
year = {2024}
}