Testing linearity for stationary time series using the sample interquartile range

DOI10.1111/1467-9892.00206MaRDI QIDQ2740047zbMATH OpenOpenAlexFDO

Authors J. Yuan

Publication date 16 September 2001

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

Full work available at URL https://doi.org/10.1111/1467-9892.00206

zbMATH Keywords

asymptotic normalitybispectrumsignificance values

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

The author proposes a test for the hypothesis \(H_0\) of linearity of a stationary time-series. The test is based on the values of normalized empirical bispectrum (obtained by smoothing the second- and third-order periodograms). Squared values of the bispectrum are evaluated at a discrete set of frequencies in the principal domain. For the set of these values a sample interquartile range is computed. This quantity is used as a test statistics.NEWLINENEWLINENEWLINEThe author evaluates the asymptotic significance level of the test using the fact that under the null hypothesis the theoretical normalized bispectrum is a constant and normalized empirical bispectrum values are asymptotically normal and independent. Computational and simulation results are presented.

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