Frequency domain tests for the constancy of a mean

D. Phil.There have been two rather distinct approaches to the analysis of time series: the time domain approach and frequency domain approach. The former is exemplified by the work of Quenouille (1957), Durbin (1960), Box and Jenkins (1970) and Ljung and Box (1979). The principal names associated with the development of the latter approach are Slutsky (1929, 1934), Wiener (1930, 1949), Whittle (1953), Grenander (1951), Bartlett (1948, 1966) and Grenander and Rosenblatt (1957). The difference between these two methods is discussed in Wold (1963). In this thesis, we are concerned with a frequency domain approach. Consider a model of the "signal plus noise" form yt = g (2t — 1 2n ) + 77t t= 1,2,—. ,n (1.1) where g is a function on (0, 1) and Ti t is a white noise process. Our interest is primarily in testing the hypothesis that g is constant, that is, that it does not change over time. There is a vast literature related to this problem in the special case where g is a step function. In that case (1.1) specifies an abrupt change model. Such abrupt change models are treated extensively by Csorgo and Horvath (1997), where an exhaustive bibliography can also be found. The methods associated with the traditional abrupt change models are, almost without exception, time domain methods. The abrupt change model is in many respects too restrictive since it confines attention to signals g that are simple step functions. In practical applications the need has arisen for tests of constancy of the mean against a less precisely specified alternative. For instance, in the study of variables stars in astronomy (Lombard (1998a)) the appropriate alternative says something like: "g is non-constant but slowly varying and of unspecified functional form". To accommodate such alternatives within a time domain approach seems to very difficult, if at all possible. They can, however, be accommodated within a frequency domain approach quite easily, as shown by, for example, Lombard (1998a and 1998b). Tests of the constancy of g using the frequency domain characteristics of the observations have been investigated by a number of authors. Lombard (1988) proposed a test based on the maximum of squared Fourier cosine coefficients at the lowest frequency oscillations. Eubank and Hart (1992) proposed a test which is based on the maximum the averages of Fourier cosine coefficients. The essential idea underlying these tests is that regular variation in the time domain manifests itself entirely at low frequencies in the frequency domain. Consequently, when g is "high frequency" , that is consists entirely of oscillations at high frequencies, the tests of Lombard (1988) and of Eubank and Hart (1992) lose most of their power. The fundamental tool used in frequency domain analysis is the periodogram; see Chapter 2 below for the definition and basic properties of the latter. A new class of tests was suggested by Lombard (1998b) based on the weighted averages of periodogram ordinates. When 7i t in model (1.1) are i.i.d. random variables with zero mean and variance cr-2 , one form of the test statistic is T1r, = Etvk fiy (A0/0-2 - (1.2) k=1 where wk is a sequence of constants that decrease as k increases and m = [i]. The rationale for such tests is discussed in detail in Lombard (1998a and 1998b). The greater part of the present Thesis consists of an investigation of the asymptotic null distributions, and power, of such tests. It is also shown that such tests can be applied directly to other, seemingly unrelated problems. Three instances of the latter type of application that are investigated in detail are (i) frequency domain competitors of Bartlett's test for white noise, (ii) frequency domain-based tests of goodness-of-fit and (iii) frequency domain-based tests of heteroscedasticity in linear or non-linear regression. regression. The application of frequency domain methods to these problems are, to the best of our knowledge, new. Until now, most research has been restricted to the case where m in (1.1) are i.i.d. random variables. As far as the correlated data are concerned, the changepoint problem was investigated by, for instance, Picard (1985), Lombard and Hart (1994) and Bai (1994) using time domain methods. Kim and Hart (1998) proposed two test statistics derived from frequency domain considerations and that are modeled along the lines of the statistics considered by Eubank and Hart (1992) in the white noise case. An analogue of the type of test statistic given in (1.2) for use with correlated data was proposed, and used, by Lombard (1998a). The latter author does not, however, provide statements or proofs regarding the asymptotic properties of the proposed test