Additivity tests for nonlinear autoregression

DOI10.1093/BIOMET/82.2.369MaRDI QIDQ4842930zbMATH OpenOpenAlexFDO

Authors Rong Chen, Jun S. Liu, Ruey S. Tsay

Publication date 23 October 1995

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ef1f99230602b1244dc55fd6d384e2792ca94cf1

zbMATH Keywords

alternating conditional expectationanalysis of varianceLagrange multiplier testnonlinear time seriespermutation testsimulationsmoothing techniquestesting additivityTukey's one degree of freedom test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(16)

• Estimation and test of linearity for a class of additive nonlinear models
• Automatic specification of piecewise linear additive models: application to forecasting natural gas demand
• Testing if a nonlinear system is additive or not
• Regressor selection with the analysis of variance method
• Model specification tests in nonparametric stochastic regression models
• Regressor and structure selection in NARX models using a structured ANOVA approach
• Testing for additivity with B-splines
• Testing additive assumptions on means of regular monitoring data: a multivariate nonstationary time series approach
• Determination of linear components in additive models
• Application of a least absolute shrinkage and selection operator to aeroelastic flight test data
• A Review of Nonparametric Time Series Analysis
• On time-irreversibility and other non-linear features in time series
• Nonparametric testing for correlation models with dependent data
• Nonparametric lag selection for nonlinear additive autoregressive models
• Analysis of variance in nonparametric regression models
• A simple additivity test for conditionally heteroscedastic nonlinear autoregression

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