منابع مشابه
A Bootstrap Test for Time Series Linearity
A bootstrap algorithm is proposed for testing Gaussianity and linearity in stationary time series, and consistency of the relevant bootstrap approximations is proven rigorously for the first time. Subba Rao and Gabr (1980) and Hinich (1982) have formulated some well-known nonparametric tests for Gaussianity and linearity based on the asymptotic distribution of the normalized bispectrum. The pro...
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We review the notion of time series linearity and describe recent advances in linearity and Gaussianity testing via data-resampling methodologies. Many advances have been made since the first published tests of linearity and Gaussianity by Subba Rao and Gabr in 1980, including several resampling-based proposals. This article is intended to be instructive in explaining and motivating linearity t...
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We study a bootstrap method which is based on the method of sieves. A linear process is approximated by a sequence of autoregressive processes of order p = pn, where pn ! 1 ; p n = on as the sample size n ! 1. F or given data, we t h e n estimate such a n A R pn model and generate a bootstrap sample by resampling from the residuals. This sieve bootstrap enjoys a nice nonparametric property. We ...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2010
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2010.04.047