A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES

DOI10.1111/J.1467-9892.1987.TB00444.XMaRDI QIDQ4727251zbMATH OpenOpenAlexFDO

Authors

Publication date 1987

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1987.tb00444.x

zbMATH Keywords

ARMAasymptotic normalityestimation of quadratic partial correlation functionhydrological time seriesnonlinear time seriesoptimum predictorssimulationtest for non-linearity of prediction

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Hydrology, hydrography, oceanography (86A05)

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Cites work

• A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
• An Introduction to Polyspectra
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• On Prediction of Moving-Average Processes
• The estimation of a nonlinear moving average model
• Threshold models in non-linear time series analysis

Cited in

(9)

• Testing nonlinear forecastability in time series: Theory and evidence from the EMS
• A nonparametric approach to test for predictability
• Prediction and independence
• Non-linearity and non-stationarity measures for time series
• scientific article; zbMATH DE number 3844877 (Why is no real title available?)
• scientific article; zbMATH DE number 1069594 (Why is no real title available?)
• scientific article; zbMATH DE number 1069597 (Why is no real title available?)
• scientific article; zbMATH DE number 1784968 (Why is no real title available?)
• A generalization of some classical time series tools

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