A New Approach for Testing Periodicity

Abstract

This article describes testing for periodicity in the presence of FD processes. We propose two approaches for testing the periodicity based on Fisher's test. The first one is performed using the periodogram which has been divided into different parts. The second one is based on the discrete wavelet transform. Properties of the tests are illustrated by means of Monte Carlo simulations.

Keywords:

• Fisher's test
• Fractional difference processes
• Periodogram
• Wavelet transform

Mathematics Subject Classification:

• Primary 62N03
• Secondary 62M15