Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Goodness-Of-Fit Test for Adaptive Fourier Model in Time Series Data

  • Lee, Hoonja (Department of Information Statistics, Pyongtaek University)
  • Published : 2003.12.01
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Abstract

The classical Fourier analysis, which is the typical frequency domain approach, is used to detect periodic trends that are of the sinusoidal shape in time series data. In this article, using a sequence of periodic step functions, describes an adaptive Fourier series where the patterns may take general periodic shapes that include sinusoidal as a special case. The results, which extend both Fourier analysis and Walsh-Fourier analysis, are applies to investigate the shape of the periodic component. Through the real data, compare the goodness-of-fit of the model using two methods, the adaptive Fourier method which is proposed method in this paper and classical Fourier method.

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