A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series

DOI10.1093/BIOMET/73.3.687MaRDI QIDQ3753349zbMATH OpenOpenAlexFDO

Authors Joseph D. Petruccelli, Neville Davies

Publication date 1986

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/73.3.687

zbMATH Keywords

time seriesasymptotic distributionportmanteau testcumulative sumsSignificance levelsself-exciting threshold autoregressive-type 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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Cited in

(31)

• Detecting nonlinearities in neuro-electrical signals: A study of synchronous local field potentials
• Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
• On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series
• On the existence of stationary threshold bilinear processes
• A multivariate threshold varying conditional correlations model
• Modelling asymmetric behaviour in time series: identification through PSO
• Power of the Lagrange multiplier test for certain subdiagonal bilinear models
• Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
• Testing time series linearity via goodness-of-fit methods
• Threshold factor models for high-dimensional time series
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Testing for Threshold Effects in the TARMA Framework
• Testing for Threshold Diffusion
• Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold
• Asymptotic distributions of the correlation integral based statistics
• The validity of bootstrap testing for threshold autoregression
• On testes for threshold–type nonlinearity in irregulaly spaced time series
• Testing time reversibility without moment restrictions
• A new nonlinearity test to circumvent the limitation of Volterra expansion with application
• Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Dynamical systems identification from time-series data: A Hankel matrix approach
• Adaptive test for periodicity in self-exciting threshold autoregressive models
• A score-based threshold effect test in time series models
• Adaptive estimation of periodic first-order threshold autoregressive model
• Identification of TAR models using recursive estimation
• Nonlinearity tests in time series analysis
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• A bootstrap test for time series linearity
• On nonlinear models for time series
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence

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