Global testing against sparse alternatives in time-frequency analysis

DOI10.1214/15-AOS1412zbMATH Open1359.62032arXiv1410.6966MaRDI QIDQ309712FDOQ309712

T. Tony Cai, Xiaodong Li, Y. C. Eldar

Publication date: 7 September 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, an over-sampled periodogram higher criticism (OPHC) test is proposed for the global detection of sparse periodic effects in a complex-valued time series. An explicit minimax detection boundary is established between the rareness and weakness of the complex sinusoids hidden in the series. The OPHC test is shown to be asymptotically powerful in the detectable region. Numerical simulations illustrate and verify the effectiveness of the proposed test. Furthermore, the periodogram over-sampled by $O(logN)$ is proven universally optimal in global testing for periodicities under a mild minimum separation condition.

Full work available at URL: https://arxiv.org/abs/1410.6966

zbMATH Keywords

sparsityempirical processeshigher criticismdetection boundaryover-sampled periodogramtesting for periodicity

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Minimax procedures in statistical decision theory (62C20) Order statistics; empirical distribution functions (62G30)

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Cited In (2)

• Global testing against sparse alternatives in time-frequency analysis
• Global and local spectral-based tests for periodicities

Uses Software

• BLOOMP

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