What is a linear process?

DOI10.1073/PNAS.93.22.12128MaRDI QIDQ5690791zbMATH OpenOpenAlexWikidataFDO

Authors P. J. Bickel, Peter Bühlmann

Publication date 3 June 1997

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.93.22.12128

zbMATH Keywords

ergodicityGaussian processlinear processesinfinitely divisible lawmoving average processesnonlinear processMallows metricchaos plus noiseinfinitely long data sequence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Stochastic processes (60G99)

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Cited in

(6)

• Martingales, nonlinearity, and chaos
• Impossible inference in econometrics: theory and applications
• Titration of chaos with added noise
• Portmanteau tests for linearity of stationary time series
• A single-blind controlled competition among tests for nonlinearity and chaos
• Assessing Persistence In Discrete Nonstationary Time‐Series Models

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