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A new nonlinearity test to circumvent the limitation of Volterra expansion with application
In this paper, we propose a quick and efficient method to examine whether a time series Xt possesses any nonlinear feature by testing a kind of dependence remained in the residuals after fitting Xt with a linear model. The advantage of our proposed nonlinearity test is that it is not required to kno...
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Published in: | Journal of the Korean Statistical Society 2017, 46(3), , pp.365-374 |
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container_end_page | 374 |
container_issue | 3 |
container_start_page | 365 |
container_title | Journal of the Korean Statistical Society |
container_volume | 46 |
creator | Hui, Yongchang Wong, Wing-Keung Bai, Zhidong Zhu, Zhen-Zhen |
description | In this paper, we propose a quick and efficient method to examine whether a time series Xt possesses any nonlinear feature by testing a kind of dependence remained in the residuals after fitting Xt with a linear model. The advantage of our proposed nonlinearity test is that it is not required to know the exact nonlinear features and the detailed nonlinear forms of the variable being examined. Another advantage of our proposed test is that there is no over-rejection problem which exists in some famous nonlinearity tests. Our proposed test can also be used to test whether the hypothesized model, including linear and nonlinear, to the variable being examined is appropriate as long as the residuals of the model being used can be estimated. Our simulation study shows that our proposed test is stable and powerful. We apply our proposed statistic to test whether there is any nonlinear feature in the sunspot data. The conclusion drawn from our proposed test is consistent with those from other well-established tests. |
doi_str_mv | 10.1016/j.jkss.2016.11.006 |
format | article |
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source | Springer Nature:Jisc Collections:Springer Nature Read and Publish 2023-2025: Springer Reading List |
subjects | Applied Statistics Bayesian Inference Dependence Dependent test Nonlinear test Nonlinearity Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs Sunspots Volterra expansion 통계학 |
title | A new nonlinearity test to circumvent the limitation of Volterra expansion with application |
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