NONPARAMETRIC-TESTS OF LINEARITY FOR TIME-SERIES

• 成果类型: Article
• 署名作者: HJELLVIK, V; TJOSTHEIM, D
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• 发表日期: 1995
• 页码: 351368
• 关键词: Nonlinearity; models

摘要

We introduce tests of linearity for time series based on nonparametric estimates of the conditional mean and the conditional variance. The tests are compared to a number of parametric tests and to nonparametric tests based on the bispectrum. Asymptotic expressions give bad approximations, and the null distribution under linearity is constructed using resampling of the best linear approximation. The new tests perform well on the examples tested.