FREQUENCY DOMAIN TESTS OF MULTIVARIATE GAUSSIANITY AND LINEARITY

DOI10.1111/1467-9892.00045MaRDI QIDQ4221797zbMATH OpenOpenAlexFDO

Authors W. K. Wong

Publication date 29 June 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00045

zbMATH Keywords

asymptotic noncentral chi-square distributioncumulants of random matricesGaussian time serieshigher-order cumulantlinear representationspectral vectorsstationary multivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(6)

• Tests for Gaussianity and linearity of multivariate stationary time series
• Testing time reversibility without moment restrictions
• High frequency asymptotics for wavelet-based tests for Gaussianity and isotropy on the torus
• Testing Gaussianity and linearity for random fields in the frequency domain
• Studies of information quantities and information geometry of higher order cumulant spaces
• A bootstrap test for time series linearity

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