A test method for weak nonlinearity in time series

MaRDI QIDQ5321602zbMATH OpenFDO

Authors Keyu Jiang, Zhiming Cai, Zhenbo Lu

Publication date 22 July 2009

zbMATH Keywords

chaotic time seriesnonlinear AR modelnonlinearity testsurrogate data

Mathematics Subject Classification ID

Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• Detection of nonlinearity and chaoticity in time series using the transportation distance function
• A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
• A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis
• A time-domain test for some types of nonlinearity
• Testing for nonlinearity in high-dimensional time series from continuous dynamics

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