Nonlinearity Tests For Bilinear Time Series Data
This Paper Discusses Two Nonlinearity Tests In Time Series Analysis, Which Are The Keenan’s Test And F-Test. The Tests Are Based On Time Domain Approach And Are Computationally Less Complex Than The Frequency Domain Approach. Both Tests Are Especially Suitable For Data Generated From Bilinear Mod...
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| Format: | Article |
| Language: | English |
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Penerbit UTM Press
2005
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| Online Access: | http://eprints.utm.my/1791/1/JTJUN42C1.pdf |
| _version_ | 1825909126144720896 |
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| author | Mohamed, Ibrahim Zaharim, Azami Yahya, Mohd. Sahar |
| author_facet | Mohamed, Ibrahim Zaharim, Azami Yahya, Mohd. Sahar |
| author_sort | Mohamed, Ibrahim |
| collection | ePrints |
| description | This Paper Discusses Two Nonlinearity Tests In Time Series Analysis, Which Are The Keenan’s Test And F-Test. The Tests Are Based On Time Domain Approach And Are Computationally Less Complex Than The Frequency Domain Approach. Both Tests Are Especially Suitable For Data Generated From Bilinear
Model As Both Can Be Expressed In Volterra Expansion Form. In This Study, Programs For Both Tests Are Developed In S-Plus 2000 Package. Through Simulation Studies, It Will Be Shown That The Tests Work Well To Distinguish Linear From Nonlinear Data Set Generated From Bilinear Model. The Nonlinearity Tests Were Applied On Four Real Data Sets Which Have Nonlinear Characteristics And The Results Obtained Are Desirable.
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| first_indexed | 2024-03-05T17:57:32Z |
| format | Article |
| id | utm.eprints-1791 |
| institution | Universiti Teknologi Malaysia - ePrints |
| language | English |
| last_indexed | 2024-03-05T17:57:32Z |
| publishDate | 2005 |
| publisher | Penerbit UTM Press |
| record_format | dspace |
| spelling | utm.eprints-17912017-11-01T04:17:34Z http://eprints.utm.my/1791/ Nonlinearity Tests For Bilinear Time Series Data Mohamed, Ibrahim Zaharim, Azami Yahya, Mohd. Sahar Q Science (General) This Paper Discusses Two Nonlinearity Tests In Time Series Analysis, Which Are The Keenan’s Test And F-Test. The Tests Are Based On Time Domain Approach And Are Computationally Less Complex Than The Frequency Domain Approach. Both Tests Are Especially Suitable For Data Generated From Bilinear Model As Both Can Be Expressed In Volterra Expansion Form. In This Study, Programs For Both Tests Are Developed In S-Plus 2000 Package. Through Simulation Studies, It Will Be Shown That The Tests Work Well To Distinguish Linear From Nonlinear Data Set Generated From Bilinear Model. The Nonlinearity Tests Were Applied On Four Real Data Sets Which Have Nonlinear Characteristics And The Results Obtained Are Desirable. Penerbit UTM Press 2005-06 Article PeerReviewed application/pdf en http://eprints.utm.my/1791/1/JTJUN42C1.pdf Mohamed, Ibrahim and Zaharim, Azami and Yahya, Mohd. Sahar (2005) Nonlinearity Tests For Bilinear Time Series Data. Jurnal Teknologi (C) , 42 (C). pp. 1-10. ISSN 0127-9696 |
| spellingShingle | Q Science (General) Mohamed, Ibrahim Zaharim, Azami Yahya, Mohd. Sahar Nonlinearity Tests For Bilinear Time Series Data |
| title | Nonlinearity Tests For Bilinear Time Series Data
|
| title_full | Nonlinearity Tests For Bilinear Time Series Data
|
| title_fullStr | Nonlinearity Tests For Bilinear Time Series Data
|
| title_full_unstemmed | Nonlinearity Tests For Bilinear Time Series Data
|
| title_short | Nonlinearity Tests For Bilinear Time Series Data
|
| title_sort | nonlinearity tests for bilinear time series data |
| topic | Q Science (General) |
| url | http://eprints.utm.my/1791/1/JTJUN42C1.pdf |
| work_keys_str_mv | AT mohamedibrahim nonlinearitytestsforbilineartimeseriesdata AT zaharimazami nonlinearitytestsforbilineartimeseriesdata AT yahyamohdsahar nonlinearitytestsforbilineartimeseriesdata |