A K-S type test of linearity for a class of time series models  

作　　者：陈敏 安鸿志 

机构地区：[1]Institute of Applied Mathematics, Chinese Academy of Sciences, Beijing 100080, China

出　　处：《Chinese Science Bulletin》1996年第11期881-886,共6页

基　　金：Project supported by the National Natural Science Foundation of China and Probability Laboratory, Institute of Applied Mathematics, Chinese Academy of Sciences.

摘　　要：1 Theorems Consider the following nonlinear autoregressive modelx_t=φx_t-1+ε_th(x_t-1θ) （1）with the assumptions:（A1）│φ│【1,θ=（θ₀,θ₁）∈ is an open set in R²,（A2） {ε_t} is a sequenee of independent identically distributed random variables suchthatEε_t=0, Eε_t²=1, E│ε_t│^4+δ【∞,for some δ】0, （2）and ε_t is independent of x_t-1, （A3） h（·） is an everywhere positive measurable function satisfying that as│x │→∞,h（x）→∞, h（x）/│x│→0, and for each C】0, sup h（x）【∞,

关 键 词：NONLINEAR TIME SERIES model LINEARITY testing. 

分 类 号：O29[理学—应用数学]