Testing Mean Stability of Heteroskedastic Time Series
نویسندگان
چکیده
منابع مشابه
Testing for nonlinearity in mean and volatility for heteroskedastic models
This paper proposes a simple test for threshold nonlinearity in either the mean or volatility equation, or both, of a heteroskedastic time series. Our proposal adopts existing Bayesian Markov chain Monte Carlo methods to fit a general double threshold GARCH model, which may have an explosive regime, then forms posterior credible intervals on model parameters to detect and specify threshold nonl...
متن کاملClustering heteroskedastic time series by model-based procedures
The interest toward the classification of time series has recently received a lot of contributions (see Piccolo, 2007, for a review). Most of these studies are devoted to capture the structure of the mean of the process hypothesized as generator of the data, whereas little attention has been devoted to the variance. When dealing with heteroskedastic time series, in which the (conditional) varia...
متن کاملTesting for Parameter Stability in RCA(1) Time Series
We utilize strong invariance principles to construct tests for the stability of model parameters determining a random coefficient autoregressive time series of order one. The test statistics are based on (conditional) least squares estimators for the unknown parameters. AMS 2000 Subject Classification: Primary 62G20, Secondary 60F15.
متن کاملTesting Time Series for Nonlinearity
The technique of surrogate data analysis may be employed to test the hypothesis that an observed data set was generated by one of several specific classes of dynamical system. Current algorithms for surrogate data analysis enable one, in a generic way, to test for membership of the following three classes of dynamical system: (0) independent and identically distributed noise, (1) linearly filte...
متن کاملTime Series Analysis of Walking Stability
In the case of patients having lower back pain, it is known that by using shoe insole therapy, stability of walking is increased and lower back pain is lessened. In this study, Synchronized System of Accelerometers was used. The time series data of accelerator in the two directions (X, Y) on each pelvis and knees were measured while the subjects were walking. Analyses on the response of step si...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2622638