TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES

DOI10.1111/J.1467-9892.1982.TB00339.XMaRDI QIDQ3968343zbMATH OpenOpenAlexFDO

Authors Melvin J. Hinich

Publication date 1982

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1982.tb00339.x

zbMATH Keywords

Fourier transformlinearity of stationary time seriessimple estimator of bispectrumskewnesstesting for Gaussianity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• Asymptotic Normality of Bispectral Estimates
• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3354425 (Why is no real title available?)
• scientific article; zbMATH DE number 3196618 (Why is no real title available?)

Cited in

(82)

• A non-parametric test for independence based on symbolic dynamics
• Blind identification of MISO-FIR channels
• Identification of the coefficients in a non-linear time series of the quadratic type
• Power of the Lagrange multiplier test for certain subdiagonal bilinear models
• Empirical chaotic dynamics in economics
• Nonlinearity tests for bilinear systems
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A single-blind controlled competition among tests for nonlinearity and chaos
• Testing time series linearity via goodness-of-fit methods
• A nonparametric goodness-of-fit test for a class of parametric autoregressive models
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Bayes factors and nonlinearity: Evidence from economic time series
• Characteristics of hand tremor time series
• Identification environment and robust forecasting for nonlinear time series
• Higher order cumulants and cumulant spectra
• Limitations on the use of discrete linear models of continuous random processes
• Signal detection using third-order moments
• On the robustness of nonlinearity tests to moment condition failure
• On complex behavior and exchange rate dynamics
• A mixed-type test for linearity in time series
• The effects of temporal aggregation on tests of linearity of a time series.
• Bispectral analysis of traffic in high-speed networks
• Clustering nonlinear, nonstationary time series using BSLEX
• Normalizing bispectra
• Asymptotic bias and variance of conventional bispectrum estimates for 2-D signals
• Bispectral-based methods for clustering time series
• Initial transient detection in simulations using the second-order cumulant spectrum
• On residual empirical processes of stochastic regression models with applications to time series
• Dynamical systems identification from time-series data: A Hankel matrix approach
• Detecting nonlinearities in neuro-electrical signals: A study of synchronous local field potentials
• Statistical tests of stochastic process models used in the financial theory of insurance companies
• Improved bispectrum based tests for Gaussianity and linearity
• Testing time reversibility without moment restrictions
• Martingales, nonlinearity, and chaos
• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
• Correntropy as a novel measure for nonlinearity tests
• Fault detection of DC electric motors using the bispectral analysis
• Detecting and modeling nonlinearity in the gas furnace data
• Slow boom, sudden crash
• A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
• Identification of arma models with non-gaussian innovations
• Global crack detection using bispectral analysis
• Nonlinearity tests in time series analysis
• A New Bispectral Test for NonLinear Serial Dependence
• Falsifying ARCH/GARCH Models Using Bispectral Based Tests
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• On nonlinear models for time series
• Tests for multinormality with applications to time series
• Measures of Dependence and Tests of Independence
• Testing for dependence in the input to a linear time series model
• Nonparametric statistics for testing of linearity and serial independence
• A test for independence based on the correlation dimension
• ON THE KOLMOGOROV-SMIRNOV TYPE TEST FOR TESTING NONLINEARITY IN TIME SERIES
• Nonlinear Time Series Models and Model Selection
• Applications of methods and algorithms of nonlinear dynamics in economics and finance
• Detecting exponential component in autoregressive models: comparative study between several tests of nonlinearity
• Normality tests for dependent data: large-sample and bootstrap approaches
• On fractal nature of groundwater level fluctuations due to rainfall process
• Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral
• Gravitational-wave data analysis. Formalism and sample applications: the Gaussian Case
• Gravitational-wave data analysis. Formalism and sample applications: the Gaussian Case
• Testing for nonlinearity in high-dimensional time series from continuous dynamics
• Nonlinear time series contiguous to AR(1) processes and a related efficient test for linearity
• Percentage points and power of a Kolmogorov-Smirnov type test for linearity in autoregressive time series
• Brief review of invariant texture analysis methods
• Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one
• Efficient goods inspection demand at ports: a comparative forecasting approach
• Permutation entropy and its variants for measuring temporal dependence
• Long-range dependence in third order and bispectrum singularity
• Nonlinear time series classification using bispectrum-based deep convolutional neural networks
• Time series clustering and classification via frequency domain methods
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• Singular properties of high-order spectral densities of supOU processes
• Joint estimation of precision matrices for long-memory time series
• Directional predictability tests
• Diagnosis of poor control-loop performance using higher-order statistics
• Higher-order accurate polyspectral estimation with flat-top lag-windows
• Angular spectra for non-Gaussian isotropic fields
• Multivariate lag-windows and group representations
• A bootstrap test for time series linearity
• Testing for nonlinearity in time series: the method of surrogate data

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