Detecting nonlinearity in multivariate time series
نویسندگان
چکیده
منابع مشابه
Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
Detecting nonlinearity in financial time series is a key point when the main interest is to understand the generating process. One of the main tests for testing linearity in time series is the Hinich Bispectrum Nonlinearity Test (HINBIN). Although this test has been succesfully applied to a vast number of time series, further improvement in the size power of the test is possible. A new method t...
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ژورنال
عنوان ژورنال: Physics Letters A
سال: 1996
ISSN: 0375-9601
DOI: 10.1016/0375-9601(96)00116-8