The Annals of Statistics
- Ann. Statist.
- Volume 44, Number 4 (2016), 1438-1466.
Global testing against sparse alternatives in time-frequency analysis
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 $O(\log N)$ is proven universally optimal in global testing for periodicities under a mild minimum separation condition.
Ann. Statist., Volume 44, Number 4 (2016), 1438-1466.
Received: June 2015
Revised: October 2015
First available in Project Euclid: 7 July 2016
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Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62C20: Minimax procedures 62F03: Hypothesis testing 62F05: Asymptotic properties of tests 62G30: Order statistics; empirical distribution functions 62G32: Statistics of extreme values; tail inference
Cai, T. Tony; Eldar, Yonina C.; Li, Xiaodong. Global testing against sparse alternatives in time-frequency analysis. Ann. Statist. 44 (2016), no. 4, 1438--1466. doi:10.1214/15-AOS1412. https://projecteuclid.org/euclid.aos/1467894704
- Supplement to “Global testing against sparse alternatives in time-frequency analysis”. We give in  the proofs to Lemmas 5.2, 5.3 and Theorem 2.2.