Testing for Linear and Nonlinear Gaussian Processes in Nonstationary Time Series

DOI10.1142/S0218127415500133zbMath1309.60035OpenAlexW2167525895MaRDI QIDQ5246678

Rodrigo Fernandes De Mello, Michael Small, Ricardo Araújo Rios

Publication date: 22 April 2015

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218127415500133

zbMATH Keywords

Fourier transformsurrogate datadecomposition methodnonlinear time seriesnonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic properties of parametric tests (62F05)

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• APPLYING THE METHOD OF SMALL–SHUFFLE SURROGATE DATA: TESTING FOR DYNAMICS IN FLUCTUATING DATA WITH TRENDS
• Detecting determinism in time series: the method of surrogate data

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