Sorour, A. and Tong, H.W. (1993) A Note on Tests for Threshold-Type Non-Linearity in Open Loop Systems. Applied Statistics-Journal of the Royal Statistical Society Series C, 42 (1). pp. 95-104. ISSN 0035-9254.
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We have noted that the likelihood ratio test for non-linearity in a univariate time series can be extended to single-output-multiple-input open loop systems. A simple extension of the cumulative sum test is also described. The performance of both tests has been examined with simulated data. Illustrations with various real data are included.
|Uncontrolled keywords:||bilinear systems; cumulative sum test; gas furnace data; input output data; jokulsa eystri data; likelihood ratio tests; market share price data; nonlinear systems; nonstandard problems; power functions; significance points; tests for nonlinearity; threshold systems; vatnsdalsa river data|
|Subjects:||H Social Sciences > HA Statistics|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science|
|Depositing User:||O.O. Odanye|
|Date Deposited:||21 Jul 2009 17:29|
|Last Modified:||31 Jul 2012 11:05|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/20693 (The current URI for this page, for reference purposes)|
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