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A Tukey nonadditivity-type test for time series nonlinearity. (English) Zbl 0562.62077

Summary: The most general form of a nonlinear strictly stationary process is that referred to as a Volterra expansion: this is to a linear process what a polynomial is to a linear function. Because of this similarity, an analogue of J. W. Tukey’s one degree of freedom for non-additivity test [Biometrics 5, 232-242 (1949)] is constructed as a test for linearity versus a second-order Volterra expansion.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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