A Test of Whether Several Time Series Share Common Periodicities
Ian B. MacNeill · Biometrika · 1977
Tests are discussed for detecting the presence of common periodicities in the components of a multiple time series. Distributional results are obtained for the case of white noise, independent, normal series. These are extended, first to the case of normal linear series with specified spectra and then to the case of estimated spectra. These results are then discussed in the context of correlated series. The tests are applied to several sets of data.