Testing time series linearity via goodness-of-fit methods

DOI10.1016/S0378-3758(98)00152-9zbMath0931.62080OpenAlexW1999414779WikidataQ126548662 ScholiaQ126548662MaRDI QIDQ1298973

Jane L. Harvil

Publication date: 23 August 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00152-9

zbMATH Keywords

goodness-of-fit testsnonlinear time seriesempirical distributionsbispectral densitynon-central chi-squared distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Clustering nonlinear, nonstationary time series using BSLEX, Bispectral-Based Goodness-of-Fit Tests of Gaussianity and Linearity of Stationary Time Series

Cites Work

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• Saddlepoint approximations for the difference of order statistics
• Asymptotic Normality of Bispectral Estimates
• An Introduction to Polyspectra
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
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