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National Repository of Grey Literature 1 records found  Search took 0.02 seconds. 
Nonparametric Nonlinearity Testing in Time Series
 Dudlák, Oliver ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
The aim of this bachelor thesis is nonparametric nonlinearity time series testing by using Q-tests and BDS-test. We describe theoretically each of the tests and then use them on simulated and real historical data. For tested time series we firstly try to identify linear model ARMA(p,q). Then we apply the tests on the estimated white noise to test the assumption of independence or noncorrelation and verify the accuracy of identified model.
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