Additivity tests for nonlinear autoregression

DOI10.1093/biomet/82.2.369zbMath0823.62071OpenAlexW2038068533MaRDI QIDQ4842930

Rong Chen, Ruey S. Tsay, Jun S. Liu

Publication date: 23 October 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ef1f99230602b1244dc55fd6d384e2792ca94cf1

zbMATH Keywords

simulationsmoothing techniquesnonlinear time seriesanalysis of variancepermutation testLagrange multiplier testalternating conditional expectationTukey's one degree of freedom testtesting additivity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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