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A mixed-type test for linearity in time series
An, HZ; Zhu, LX; Li, RZ
2000-08-01
Source PublicationJOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN0378-3758
Volume88Issue:2Pages:339-353
AbstractWe propose a new test for linearity of time-series model by introducing a mixed-type statistic. It consists of a Cramer-Von Mises-type statistic and a goodness-of-fit statistic concerned only with fitting a linear autoregressive model. The computation involved in the new test is considerably simple and the curse of dimensionality is partly avoided. It is shown that the test is consistent against all fixed alternatives to linearity in stationary autoregressive series. The simulation results show that the test has good performance of power. (C) 2000 Elsevier Science B.V. All rights reserved. MSG: primary 62M10; 62G10; secondary 62E10; 62H15.
Keywordnonlinearity test for linearity stationary AR(p) series
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000088193000013
PublisherELSEVIER SCIENCE BV
Citation statistics
Cited Times:5[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/15575
Collection中国科学院数学与系统科学研究院
AffiliationAcad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
An, HZ,Zhu, LX,Li, RZ. A mixed-type test for linearity in time series[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2000,88(2):339-353.
APA An, HZ,Zhu, LX,&Li, RZ.(2000).A mixed-type test for linearity in time series.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,88(2),339-353.
MLA An, HZ,et al."A mixed-type test for linearity in time series".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 88.2(2000):339-353.
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