Exact nonparametric inference for detection of nonlinear determinism

Details Exact nonparametric inference for detection of nonlinear determinism Exact nonparametric inference for detection of nonlinear determinism

2005-07-23

arxiv.org/abs/nlin/0507049v2

Nonlinear Sciences

Chaotic Dynamics

Scientific paper

We propose an exact nonparametric inference scheme for the detection of nonlinear determinism. The essential fact utilized in our scheme is that, for a linear stochastic process with jointly symmetric innovations, its ordinary least square (OLS) linear prediction error is symmetric about zero. Based on this viewpoint, a class of linear signed rank statistics, e.g. the Wilcoxon signed rank statistic, can be derived with the known null distributions from the prediction error. Thus one of the advantages of our scheme is that, it can provide exact confidence levels for our null hypothesis tests. Furthermore, the exactness is applicable for finite samples with arbitrary length. We demonstrate the test power of this statistic through several examples.

Affiliated with

Also associated with

No associations

Rating

Exact nonparametric inference for detection of nonlinear determinism does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exact nonparametric inference for detection of nonlinear determinism, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact nonparametric inference for detection of nonlinear determinism will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-544734