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Towards a nonparametric test of linearity for times series

✍ Scribed by Ricardo Rios

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 906 KB
Volume: 68
Category: Article
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(97)00148-1

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✦ Synopsis

We study the intervals of linearity for the regression function of stationary and strongly mixing vectorial-valued random processes, using nonlinear integral plug-in estimators of functionals of the second derivative of the regression function. We give conditions in order to obtain CLT, possibly degenerated, for these estimators at the semiparametric rate v ~. Simulations for a test statistic based on these estimators under linearity and nonlinearity conditions are given.

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