JSM 2004 - Toronto

Abstract #301693

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Activity Number: 161
Type: Contributed
Date/Time: Monday, August 9, 2004 : 2:00 PM to 3:50 PM
Sponsor: General Methodology
Abstract - #301693
Title: Bispectral-Based Goodness-of-Fit Test for Time Series Linearity
Author(s): Nusrat Jahan*+ and Jane L. Harvill
Companies: Mississippi State University and Mississippi State University
Address: Dept. of Mathematics and Statistics, Mississippi State, MS, 39762,
Keywords: nonlinear time series ; bispectral density function ; noncentral chi-squared distribution ; goodness-of-fit test
Abstract:

We discuss a bispectral-based goodness-of-fit test for time series linearity. The two-stage procedure first tests Gaussianity. If this null is rejected, the linearity of the time series is tested. The tests are constructed from properties of the normalized bispectrum under the corresponding null hypothesis. Under Gaussianity, the test statistic has a (central) chi-square distribution with two degrees of freedom; under linearity a noncentral chi-square 2. Size and power of the test are examined. We conclude by applying the test to a dataset from signal processing literature.

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