A note on testing for nonlinearity with partially observed time series

DOI10.1093/BIOMET/89.1.245zbMATH Open1141.62338OpenAlexW2056189852MaRDI QIDQ4547591FDOQ4547591

Authors: Henghsiu Tsai, Kung-Sik Chan 

Publication date: 21 August 2002

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/cf848ae22974758313b088d9125e20c13680c80a

Recommendations

• Testing for nonlinearity with partially observed time series
• scientific article; zbMATH DE number 4060586
• scientific article; zbMATH DE number 4090638
• Testing linearity against nonlinear moving average models
• Publication:4935654

zbMATH Keywords

Kalman filterEuler schemeLagrange multiplier testStochastic differential equationIrregularly sampled data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Cited In (8)

• On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series
• Title not available (Why is that?)
• Using discrete-time techniques to test continuous-time models for nonlinearity in drift
• Testing for nonlinearity with partially observed time series
• A new nonlinearity test to circumvent the limitation of Volterra expansion with application
• Towards a nonparametric test of linearity for times series
• Title not available (Why is that?)
• A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis

This page was built for publication: A note on testing for nonlinearity with partially observed time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4547591)