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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| Official URL http://dx.doi.org/10.2307/2347412 |
Abstract
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.
| Item Type: | Article |
|---|---|
| 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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