Statistical approach to detection of signals by Monte Carlo singular spectrum analysis: Multiple testing

03/04/2019
by   Nina Golyandina, et al.
0

The statistical approach to detection of a signal in noisy series is considered in the framework of Monte Carlo singular spectrum analysis. This approach contains a technique to control both type I and type II errors and also compare criteria. For simultaneous testing of multiple frequencies, a multiple version of MC-SSA is suggested to control the family-wise error rate.

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