A bootstrap test for time series linearity

DOI10.1016/J.JSPI.2010.04.047MaRDI QIDQ993830zbMATH OpenOpenAlexFDO

Authors Arthur Berg, Efstathios Paparoditis, Dimitris Politis

Publication date 20 September 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.04.047

zbMATH Keywords

bispectrumbootstrapgaussianity testlinearity test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

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• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches

Cites work

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• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
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Cited in

(18)

• Testing Gaussianity and linearity of Japanese stock returns
• Bispectral-based methods for clustering time series
• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• A test for stationarity based on empirical processes
• Estimation of the bispectrum for locally stationary processes
• Testing linearity for stationary time series using the sample interquartile range
• Reliability of linearity test for smooth transition models
• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
• Testing for stationarity in multivariate locally stationary processes
• Discriminating between long-range dependence and non-stationarity
• A simple bootstrap test for time series regression models
• Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
• Normality tests for dependent data: large-sample and bootstrap approaches
• Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
• Portmanteau tests for linearity of stationary time series
• Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one
• Bootstrap methods for dependent data: a review

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