| Title | Semiparametric lag dependent functions |
| Authors | Erik Lindström |
| Alternative Location | http://www.m-hikari.com/ams... |
| Publication | Applied Mathematical Sciences |
| Year | 2013 |
| Volume | 7 |
| Issue | 12 |
| Pages | 551 - 566 |
| Document type | Article |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | Hikari Ltd |
| Abstract English | This paper introduces a suite of tests for linear and general non-<br> linear serial dependence. The problem is complex as the number of<br> variations of realistic non-linear alternatives is very large.<br> The alternative model is dened in terms of penalized truncated<br> polynomial splines, making the approximation capable of accurately<br> approximating a large class of linear and non-linear processes.<br> The asymptotic distribution for the test statistic is derived, and we<br> show using Monte Carlo simulations that one test is equivalent to the<br> Ljung-Box test, other linear tests corresponds to ordinary or partial<br> sample autocorrelation while the non-linear versions are capable of de-<br> tecting non-linear eects, even when other tests fail to do so. |
| Keywords | time series, hypothesis testing, Stationary processes, |
| ISBN/ISSN/Other | ISSN: 1314-7552 (online) |
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Last update: 2013-04-11
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