Identification of Non-Linear Time Series from First Order Cumulative Characteristics The Annals of Statistics McKeague IW and Zhang MJ. Identification of Non-Linear Time Series from First Order Cumulative Characteristics. The Annals of Statistics, 22, 495-514, 1994
Date
03/02/1992Abstract
A new approach to the problem of identifying a nonlinear time series model is considered. We argue that cumulative lagged conditional mean and variance functions are the appropriate "signatures" of a nonlinear time series for the purpose of model identification, being analogous to cumulative distribution functions or cumulative hazard functions in iid models. We introduce estimators of the cumulative lagged conditional mean and variance functions and study their asymptotic properties. A goodness-of-fit test for parametric time series models is also developed.
Author List
McKeague IW and Zhang MJAuthor
Mei-Jie Zhang PhD Professor in the Institute for Health and Equity department at Medical College of WisconsinView Online
