JSM 2005 - Toronto

Abstract #304650

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Activity Number: 448
Type: Contributed
Date/Time: Wednesday, August 10, 2005 : 2:00 PM to 3:50 PM
Sponsor: General Methodology
Abstract - #304650
Title: Testing Time Series Linearity: Goodness-of-fit Approach
Author(s): Nusrat Jahan*+ and Jane Harvill
Companies: James Madison University and Mississippi State University
Address: Department of Mathematics and Statistics, Harrisonburg, VA, 22807, United States
Keywords: goodness-of-fit ; noncentral chi-square distribution ; nonlinear time series ; bispectral density function
Abstract:

We present a test for detecting time series linearity by incorporating goodness-of-fit techniques and bispectral density function properties of the time series. The two-stage test procedure tests for Gaussianity in the first stage. If the null is rejected, linearity of the time series is tested. Under the Gaussianity, the test statistic has a (central) chi-square distribution with two degrees of freedom; under linearity, a noncentral chi-square with two degrees of freedom. The proposed test is compared in terms of size and power with the well known existing linearity tests in the literature.

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