A note on testing for nonlinearity with partially observed time series

DOI10.1093/BIOMET/89.1.245MaRDI QIDQ4547591zbMATH OpenOpenAlexFDO

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

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)

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