A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES

DOI10.1111/j.1467-9892.1987.tb00444.xzbMath0617.62104OpenAlexW2054705439MaRDI QIDQ4727251

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Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00444.x

zbMATH Keywords

simulationasymptotic normalitynonlinear time seriesARMAhydrological time seriesestimation of quadratic partial correlation functionoptimum predictorstest for non-linearity of prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hydrology, hydrography, oceanography (86A05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• An Introduction to Polyspectra