Miscellanea. A note on tests for nonlinearity in a vector time series

DOI10.1093/BIOMET/86.3.728MaRDI QIDQ4935372zbMATH OpenOpenAlexFDO

Authors Jane L. Harvill, B. K. Ray

Publication date 13 June 2000

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/86.3.728

zbMATH Keywords

likelihood ratiomultivariate time seriesnonlinear time series

Mathematics Subject Classification ID

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

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Cited in

(12)

• Towards a nonparametric test of linearity for times series
• On testing for nonlinearity in multivariate time series
• Properties of a simple bilinear stochastic model: Estimation and predictability
• Detecting and modeling nonlinearity in the gas furnace data
• An investigation of lag identification tools for vector nonlinear time series
• A Frequency Domain Test for Propriety of Complex-Valued Vector Time Series
• Detecting direct nonlinearity of multivariate time series
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
• Investigating asymptotic properties of vector nonlinear time series models
• Multivariate contemporaneous-threshold autoregressive models
• Modeling vector nonlinear time series using POLYMARS
• Functional coefficient autoregressive models for vector time series

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