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Activity Number: 185
Type: Contributed
Date/Time: Monday, August 5, 2013 : 10:30 AM to 12:20 PM
Sponsor: Korean International Statistical Society
Abstract - #307628
Title: New Method on Nonlinearity Test in Time Series
Author(s): Hang Kim*+
Companies: Temple
Keywords: Linearity ; Guassianity ; Nonlinearity ; Relative Linearity ; Time Series

Most of time series analysis theory and practice have been developed and implemented based on linear assumption. Typical forecasting is done using linear progression of time series as well. However, many financial time series do exhibit nonlinear phenomenon. Therefore, linearity assumption must be relaxed and alternative analysis should be done to properly understand underlying process. In this article, we propose simple yet powerful method to determine relative linearity of underlying time series process.

Authors who are presenting talks have a * after their name.

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