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Document Typethesis
Author NameUrsan, Alina Maria
URNetd-053105-143724
TitleA Robust Cusum Test for SETAR-Type Nonlinearity in Time Series
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Joseph D. Petruccelli, Advisor
  • Jayson D. Wilbur, Co-Advisor
  • Keywords
  • robust
  • cusum test
  • setar
  • nonlinearity
  • Date of Presentation/Defense2005-05-31
    Availability unrestricted

    Abstract

    As a part of an effective SETAR (self-exciting threshold autoregressive) mod- eling methodology, it is important to identify processes exhibiting SETAR-type non- linearity. A number of tests of nonlinearity have been developed in the literature, including those of Keenan (1985), Petruccelli and Davies (1986), Tsay (1986, 1989), Luukkonen (1988), and Chan and Tong (1990). However, it has recently been shown that all these tests perform poorly for SETAR-type nonlinearity detection in the presence of outliers.

    In this project we develop an improved test for SETAR-type nonlinearity in time series. The test is an outlier-robust variant of the Petruccelli and Davies (1986) test based on the cumulative sums of ordered weighted residuals from generalized maximum likelihood fits (which we call CUSUM-GM).

    The properties of the proposed CUSUM-GM test are illustrated by means of Monte Carlo simulations. The merits, in terms of size and power, of the proposed test are evaluated relative to the test based on ordered residuals from the ordinary least squares fit (which we call CUSUM-LS) and also to that of other tests for nonlinearity developed in literature. The simulations are run for uncontaminated data and for data contaminated with additive and innovational outliers. The simulation study strongly supports the validity of the proposed robust CUSUM-GM test, particularly in situations in which outliers might be a problem.

    Files
  • AlinaUrsan.pdf

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