A new nonlinearity test to circumvent the limitation of Volterra expansion with application

DOI10.1016/J.JKSS.2016.11.006MaRDI QIDQ2398407zbMATH OpenOpenAlexFDO

Authors Wing-Keung Wong, Zhen-Zhen Zhu, Yong-Chang Hui, Zhidong Bai

Publication date 16 August 2017

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/79692/1/MPRA_paper_79692.pdf

zbMATH Keywords

dependencedependent testnonlinear testnonlinearitysunspotstime seriesVolterra expansion

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Radiative transfer in astronomy and astrophysics (85A25)

Recommendations

• A Tukey nonadditivity-type test for time series nonlinearity
• Nonlinearity tests in time series analysis
• Nonlinearity tests for time series
• scientific article; zbMATH DE number 775747
• A note on testing for nonlinearity with partially observed time series

Cites work

• ``Student and small-sample theory.
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• A test for independence based on the correlation dimension
• A Tukey nonadditivity-type test for time series nonlinearity
• Analysis of financial time series
• Approximation Theorems of Mathematical Statistics
• Asymptotic spectral theory for nonlinear time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Functional-Coefficient Autoregressive Models
• scientific article; zbMATH DE number 4159917 (Why is no real title available?)
• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 646819 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 3195732 (Why is no real title available?)
• scientific article; zbMATH DE number 3089032 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonlinear time series. Nonparametric and parametric methods
• Nonlinearity tests for time series
• Nonparametric model validations for hidden Markov models with applications in financial econometrics
• On a measure of lack of fit in time series models
• On linear processes with dependent innovations
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• On the invertibility of time series models
• On weighted U-statistics for stationary processes.
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• Testing a linear time series model against its threshold extension
• Threshold models in non-linear time series analysis

Cited in

(4)

• Do both demand-following and supply-leading theories hold true in developing countries?
• A Tukey nonadditivity-type test for time series nonlinearity
• Macroeconomic imbalances and financial stress among BRICS: analysis of frequency-dependent and asymmetric causal nexuses
• Revised BDS test

This page was built for publication: A new nonlinearity test to circumvent the limitation of Volterra expansion with application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2398407)