On testes for threshold–type nonlinearity in irregulaly spaced time series

DOI10.1080/00949659008811226MaRDI QIDQ3350573zbMATH OpenOpenAlexFDO

Authors Howell Tong, Iris M. H. Yeung

Publication date 1990

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659008811226

zbMATH Keywords

Kalman filterCUSUMstate space approachthreshold autoregressionirregularly spaced datacontinuous time autoregressionTsay's testPetruccelli-Davies testtesting for threshold-type nonlinearity

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3059214 (Why is no real title available?)
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Inference about the intersection in two-phase regression
• Testing and Modeling Threshold Autoregressive Processes

Cited in

(2)

• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis

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