A simple additivity test for conditionally heteroscedastic nonlinear autoregression

DOI10.1016/J.CSDA.2012.01.019MaRDI QIDQ693254zbMATH OpenOpenAlexFDO

Authors M. C. Fu

Publication date 7 December 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2012.01.019

zbMATH Keywords

nonlinear autoregressive modelunbalanced ANOVA with unequal variances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3513115 (Why is no real title available?)
• scientific article; zbMATH DE number 1239650 (Why is no real title available?)
• scientific article; zbMATH DE number 774844 (Why is no real title available?)
• Additivity tests for nonlinear autoregression
• Burmann expansion and test for additivity
• Exact Analysis of Variance with Unequal Variances: Test Procedures and Tables
• NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Nonlinear autoregressive processes
• Nonlinear time series. Nonparametric and parametric methods
• Non‐linear GARCH models for highly persistent volatility
• On a threshold autoregression with conditional heteroscedastic variances
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Single-stage analysis of variance under heteroscedasticity
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

Cited in

(2)

• Additivity tests for nonlinear autoregression
• Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series

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