Nonlinearity tests for time series

DOI10.1093/biomet/73.2.461zbMath0603.62097OpenAlexW4362221862MaRDI QIDQ3740083

Publication date: 1986

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/73.2.461

zbMATH Keywords

numerical comparisons nonlinear time series Volterra expansion stationary time series autoregressive-moving average models Simulation results nonlinearity tests Tukey's nonadditivity test concurrent nonlinearity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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