The effects of temporal aggregation on tests of linearity of a time series.
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Publication:1589462
DOI10.1016/S0167-9473(99)00072-9zbMath1052.62539WikidataQ128100609 ScholiaQ128100609MaRDI QIDQ1589462
William W. S. Wei, Paulo Teles
Publication date: 12 December 2000
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Volterra expansionArranged autoregressionBispectral testNoncentrality parameterNonlinear time-seriesPower lossTime-series aggregates
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (5)
The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models ⋮ Temporal aggregation of Markov-switching financial return models ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ A spectral measure for the information loss of temporal aggregation
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- TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
- Effect of temporal aggregation on the dynamic relationship of two time series variables
- TEMPORAL AGGREGATION IN THE ARIMA PROCESS
- Testing and Modeling Threshold Autoregressive Processes
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