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

bootstrapbispectrumlinearity testgaussianity test

Mathematics Subject Classification ID

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

Recommendations

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

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