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

DOI10.1093/BIOMET/86.3.728zbMATH Open0938.62093OpenAlexW2084102874MaRDI QIDQ4935372FDOQ4935372

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

Recommendations

• On portmanteau-type tests for nonlinear multivariate time series
• scientific article; zbMATH DE number 775842
• Nonlinearity tests for time series
• scientific article; zbMATH DE number 775747

zbMATH Keywords

nonlinear time seriesmultivariate time serieslikelihood ratio

Mathematics Subject Classification ID

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

Cited In (12)

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

This page was built for publication: Miscellanea. A note on tests for nonlinearity in a vector time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4935372)