Testing for nonlinearity with partially observed time series

DOI10.1093/biomet/87.4.805zbMath1037.62094OpenAlexW2076757011MaRDI QIDQ2739332

Henghsiu Tsai, Kung-Sik Chan

Publication date: 2000

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/87.4.805

zbMATH Keywords

stochastic differential equationsKalman filterEuler schemeLagrange multiplier testirregular sample data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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