Tests for multinormality with applications to time series

DOI10.1080/03610929908832312zbMATH Open0918.62052OpenAlexW2067120433MaRDI QIDQ4240711FDOQ4240711

Authors: Takeaki Kariya, Ruey S. Tsay, Nobuhiko Terui, Hong Li 

Publication date: 7 July 1999

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929908832312

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• Tests for Gaussianity and linearity of multivariate stationary time series
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zbMATH Keywords

kurtosisskewnesstest for multivariate normalityHermitian polynomialsGaussianitybispectrum test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Title not available (Why is that?)
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• A class of invariant consistent tests for multivariate normality
• Some p-variate adaptations of the shapiro-wilk test of normality
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• Limit distributions for Mardia's measure of multivariate skewness
• A new approach to the BHEP tests for multivariate normality
• Extreme smoothing and testing for multivariate normality
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• Adaptive Smoothing and Density-Based Tests of Multivariate Normality
• A test for normality based on the empirical characteristic function
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• F-probability plot and its application to multivariate normality
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
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• Testing that a stationary time series is Gaussian
• Comparison of tests for bivariate normality with unknown parameters by transformation to an univariate statistic
• A test of p-variate normality
• Title not available (Why is that?)

Cited In (5)

• A SIMPLE TEST OF NORMALITY FOR TIME SERIES
• Invariant tests for multivariate normality: A critical review
• Testing normality in the time series of EMP indices: an application and power-comparison of alternative tests
• A multi-scale approach for testing and detecting peaks in time series
• An Appraisal and Bibliography of Tests for Multivariate Normality

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