IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v8y1987i3p313-327.html
   My bibliography  Save this article

A Test For Non‐Linearity Of Prediction In Time Series

Author

Listed:
  • C. O'Brien

Abstract

. A test for non‐linearity of prediction in time series is suggested; the test makes use of the partial correlation between a series and its square, eliminating linear terms. The distribution of partial correlation estimates is considered both theoretically and by simulation. Extensions of the test to include partial correlations with other nonlinear functions of the observed data are suggested. The nature of optimum predictors for some particular non‐linear time series is described, and the performance of the test when used with simulated non‐linear series is investigated.

Suggested Citation

  • C. O'Brien, 1987. "A Test For Non‐Linearity Of Prediction In Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 313-327, May.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:3:p:313-327
    DOI: 10.1111/j.1467-9892.1987.tb00444.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1987.tb00444.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1987.tb00444.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:8:y:1987:i:3:p:313-327. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.