Testing time series linearity via goodness-of-fit methods

DOI10.1016/S0378-3758(98)00152-9MaRDI QIDQ1298973zbMATH OpenOpenAlexWikidataFDO

Authors Jane L. Harvil

Publication date 23 August 1999

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

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00152-9

zbMATH Keywords

bispectral densityempirical distributionsgoodness-of-fit testsnon-central chi-squared distributionnonlinear time series

Mathematics Subject Classification ID

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

Recommendations

• Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
• Nonparametric tests of linearity for time series
• scientific article; zbMATH DE number 1165677
• Testing linearity for stationary time series using the sample interquartile range

Cites work

• A note on certain integral equations associated with nonlinear time series analysis
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• A Tukey nonadditivity-type test for time series nonlinearity
• An introduction to bispectral analysis and bilinear time series models
• An Introduction to Polyspectra
• Asymptotic Normality of Bispectral Estimates
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Goodness of fit tests for spectral distributions
• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 3700081 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 775747 (Why is no real title available?)
• Nonlinearity tests for time series
• Saddlepoint approximations for the difference of order statistics
• Testing and Modeling Threshold Autoregressive Processes
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Testing linearity against smooth transition autoregressive models
• Threshold models in non-linear time series analysis

Cited in

(10)

• A mixed-type test for linearity in time series
• Clustering nonlinear, nonstationary time series using BSLEX
• Improved bispectrum based tests for Gaussianity and linearity
• Testing linearity for stationary time series using the sample interquartile range
• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• A New Test of Linearity of Time Series Based on the Bispectrum
• scientific article; zbMATH DE number 1165677 (Why is no real title available?)
• Nonparametric tests of linearity for time series
• Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series

This page was built for publication: Testing time series linearity via goodness-of-fit methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1298973)