A New Test of Linearity of Time Series Based on the Bispectrum

DOI10.1111/1467-9892.00120zbMath0921.62120OpenAlexW1999070112MaRDI QIDQ4255277

Janos Máth, Gyorgy H. Terdik

Publication date: 10 August 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00120

zbMATH Keywords

stationary time serieslinearitybispectrumquadratic prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Angular spectra for non-Gaussian isotropic fields ⋮ Long-range dependence in third order and bispectrum singularity ⋮ Parameter identification for nonlinear systems: guaranteed confidence regions through LSCR ⋮ A bootstrap test for time series linearity ⋮ Portmanteau tests for linearity of stationary time series ⋮ Bispectral analysis of traffic in high-speed networks

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