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A TEST FOR LINEARITY OF STATIONARY TIME SERIES
Author(s) -
Rao T. Subba,
Gabr M. M.
Publication year - 1980
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1980.tb00308.x
Subject(s) - series (stratigraphy) , mathematics , order of integration (calculus) , linearity , statistical hypothesis testing , time series , function (biology) , statistics , algorithm , econometrics , mathematical analysis , paleontology , physics , quantum mechanics , evolutionary biology , biology
. A standard assumption that is often made in time series analysis is that the series conforms to a linear model. The object of this paper is to describe statistical tests for testing this assumption. The tests are constructed from the bispectral density function, and depend on the application of Hotelling T 2 . These tests are illustrated with two real time series and four simulated time series. Some guidelines about the choice of the parameters are also included.