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

DOI10.1080/00949659008811226zbMATH Open0726.62144OpenAlexW2069321257MaRDI QIDQ3350573FDOQ3350573

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

• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing and Modeling Threshold Autoregressive Processes
• Inference about the intersection in two-phase regression
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series

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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