A simple additivity test for conditionally heteroscedastic nonlinear autoregression

DOI10.1016/j.csda.2012.01.019zbMath1252.62091OpenAlexW2058473404MaRDI QIDQ693254

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)

Cites Work

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• Burmann expansion and test for additivity
• NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS
• Additivity tests for nonlinear autoregression
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Non‐linear GARCH models for highly persistent volatility
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

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