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部分观测时间序列的非线性检验札记AI 解读

We have implemented a Lagrange multiplier test for the alternative hypothesis of a nonlinear continuous‐time autoregressive model with the instantaneous mean having multiple degrees of nonlinearity. This test is an extension of a Lagrange multiplier test proposed by Tsai & Chan (2000), with the alternative model analogous to the model used in Tsay's (1986) discrete‐time work. The performance of the test in the finite‐sample case is compared with several existing tests for…

部分观测时间序列的非线性检验AI 解读

We have implemented a Lagrange multiplier test specifically for the alternative of a nonlinear continuous-time autoregressive model with the instantaneous mean having one degree of nonlinearity. The test is then extended to testing for the alternative of general nonlinear continuous-time autoregressive models with multiple degrees of nonlinearity. The performance of the test in the finite-sample case is compared with several existing tests for nonlinearity including Keenan's…