The effects of temporal aggregation on tests of linearity of a time series

• Tipo: Artigo em Revista Científica Internacional
• Data: 2000

Autores

Paulo Teles (Autor) FEP; William W. S. Wei (Autor) Outra

Revista

Título: Computational Statistics and Data Analysis

Vol. 34

Páginas: 91-103

ISSN: 0167-9473

Editora: Elsevier

Indexação

ISI Web of Knowledge - 9 Citações

Scopus - 10 Citações

Outras Informações

ID Authenticus: P-000-ZFS

DOI: 10.1016/s0167-9473(99)00072-9

Abstract (EN): Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the effects of temporal aggregation on testing for linearity, basing our analysis on both time- and frequency-domain tests. The results show that temporal aggregation weakens nonlinearity and reduces the power of the tests. The impact is severe. The use of aggregate data greatly hampers the detection of the nonlinear nature of the process.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 13