Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series

DOI10.1080/03610920802133319MaRDI QIDQ5495065zbMATH OpenOpenAlexFDO

Authors Nusrat Jahan, Jane L. Harvill

Publication date 30 July 2014

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802133319

zbMATH Keywords

frequency domain analysisbispectral density functiontesting time series linearity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• A Tukey nonadditivity-type test for time series nonlinearity
• A note on certain integral equations associated with nonlinear time series analysis
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• A single-blind controlled competition among tests for nonlinearity and chaos
• Asymptotic Normality of Bispectral Estimates
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• Estimation of the Bispectrum
• Nonlinearity tests for time series
• Normalizing bispectra
• Saddlepoint approximations for the difference of order statistics
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Testing and Modeling Threshold Autoregressive Processes
• Testing time series linearity via goodness-of-fit methods

Cited in

(13)

• Bispectral-based methods for clustering time series
• Bootstrapping bispectra: an application to testing for departure from Gaussianity of stationary signals
• Normality tests for dependent data: large-sample and bootstrap approaches
• An introduction to bispectral analysis and bilinear time series models
• The Use of Aggregate Time Series in Testing for Gaussianity
• Testing Gaussianity and linearity for random fields in the frequency domain
• Improved bispectrum based tests for Gaussianity and linearity
• Testing linearity for stationary time series using the sample interquartile range
• Testing nonstationary time series for Gaussianity and linearity using the evolutionary bispectrum: an application to internet traffic data
• scientific article; zbMATH DE number 1069597 (Why is no real title available?)
• Clustering nonlinear, nonstationary time series using BSLEX
• A New Bispectral Test for NonLinear Serial Dependence
• A bootstrap test for time series linearity

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