A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series

DOI10.2307/1403689zbMath0748.62049OpenAlexW203052516MaRDI QIDQ3990525

Bing Cheng, Hong-Zhi An

Publication date: 28 June 1992

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403689

zbMATH Keywords

time seriesBrownian motionconditional expectationautoregressive modelsimulation studiesstrong mixing sequencestationary ergodic sequencetesting nonlinearityKolmogorov-Smirnov type statisticstationary martingale differencestochastic weighting empirical processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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