Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

DOI10.1007/S10203-013-0143-0MaRDI QIDQ742469zbMATH OpenOpenAlexFDO

Authors Mariano Matilla-García, Manuel Ruiz Marín, Mohammed I. Dore, Rina B. Ojeda

Publication date 18 September 2014

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-013-0143-0

zbMATH Keywords

independence testnonlinearityBDS

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 3327849 (Why is no real title available?)
• A generalized BDS statistic
• A non-parametric independence test using permutation entropy
• A single-blind controlled competition among tests for nonlinearity and chaos
• A test for independence based on the correlation dimension
• Measuring the strangeness of strange attractors
• On U-statistics and v. mise? statistics for weakly dependent processes
• Portmanteau model diagnostics and tests for nonlinearity: A comparative Monte Carlo study of two alternative methods

Cited in

(5)

• Correntropy as a novel measure for nonlinearity tests
• A modified BDS test
• A set of novel correlation tests for nonlinear system variables
• Symbolic correlation integral
• AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL

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