A mixed-type test for linearity in time series

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	A mixed-type test for linearity in time series
	An, HZ; Zhu, LX; Li, RZ
	2000-08-01
发表期刊	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN	0378-3758
卷号	88 期号:2 页码:339-353
摘要	We 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.
关键词	nonlinearity test for linearity stationary AR(p) series
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000088193000013
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15575
专题	中国科学院数学与系统科学研究院
作者单位	Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 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.