A Note on Tests for Threshold-Type Non-Linearity in Open Loop Systems

Sorour, A. and Tong, Howell (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. (The full text of this publication is not available from this repository)

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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: 25 Jun 2014 09:34
Resource URI: http://kar.kent.ac.uk/id/eprint/20693 (The current URI for this page, for reference purposes)
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