A simple additivity test for conditionally heteroscedastic nonlinear autoregression

DOI10.1016/J.CSDA.2012.01.019zbMATH Open1252.62091OpenAlexW2058473404MaRDI QIDQ693254FDOQ693254

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

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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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• NONPARAMETRIC ESTIMATION AND TESTING OF INTERACTION IN ADDITIVE MODELS
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• Non‐linear GARCH models for highly persistent volatility
• On a threshold autoregression with conditional heteroscedastic variances
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• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Exact Analysis of Variance with Unequal Variances: Test Procedures and Tables
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
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• Additivity tests for nonlinear autoregression
• Nonlinear autoregressive processes
• Single-stage analysis of variance under heteroscedasticity
• Burmann expansion and test for additivity
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

Cited In (1)

• Additivity tests for nonlinear autoregression

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