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Fisher's g Revisited

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  • Barry G. Quinn

Abstract

In 1929, Fisher proposed a test for periodicity based on the largest periodogram ordinate. If the true frequency lies between two consecutive Fourier frequencies and the signal to noise ratio is low, the test may conclude that there is no periodicity. This loss of power was noted by Whittle in 1952, as well as the necessary assumption that the noise be white. Whittle and subsequent authors suggested remedies for the white noise assumption. This paper proposes simple tests, based on the Fourier coefficients, that is, the Fourier transforms at the Fourier frequencies, that have good power properties at all frequencies.

Suggested Citation

  • Barry G. Quinn, 2021. "Fisher's g Revisited," International Statistical Review, International Statistical Institute, vol. 89(2), pages 402-419, August.
    • Handle: RePEc:bla:istatr:v:89:y:2021:i:2:p:402-419
    DOI: 10.1111/insr.12437
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    References listed on IDEAS

    as
    1. Hannan, E. J., 1979. "The central limit theorem for time series regression," Stochastic Processes and their Applications, Elsevier, vol. 9(3), pages 281-289, December.
    2. B. G. Quinn, 1989. "Estimating The Number Of Terms In A Sinusoidal Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(1), pages 71-75, January.
    3. L. Kavalieris & E. J. Hannan, 1994. "Determining The Number Of Terms In A Trigonometric Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 613-625, November.
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