A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
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Publication:3753349
DOI10.1093/biomet/73.3.687zbMath0612.62124OpenAlexW4385825050MaRDI QIDQ3753349
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
asymptotic distributiontime seriesportmanteau testcumulative sumsSignificance levelsself-exciting threshold autoregressive-type nonlinearity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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