Testing for SETAR non-linearity using wavelet variance.
Abstract (A test procedure non-linear self-exciting threshold autoregressive (SETAR) processes in proposed using a test statistics that is based on wavelet variance. The method of surrogate data is used to approximate the distribution of the test statistic under the null hypothesis that the data is...
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| Format: | Thesis |
| Sprog: | English |
| Udgivet: |
Quezon City
University of the Philippines
c2013.
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