A diagnostic statistic for functional-coefficient autoregressive models

DOI10.1080/03610929808832226zbMath0907.62096OpenAlexW1972641923MaRDI QIDQ4216592

Yasumasa Matsuda

Publication date: 4 March 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929808832226

zbMATH Keywords

nonlinear time seriesstationary time seriesconditional least squares estimatornonparametric estimatordelay parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Diagnostics, and linear inference and regression (62J20)

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A test of linearity against functional coefficient autoregressive models

Cites Work

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