Tests for multinormality with applications to time series

DOI10.1080/03610929908832312MaRDI QIDQ4240711zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bispectrum testGaussianityHermitian polynomialskurtosisskewnesstest for multivariate normality

Mathematics Subject Classification ID

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

Recommendations

• Tests for Gaussianity and linearity of multivariate stationary time series
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Cites work

• A class of invariant consistent tests for multivariate normality
• A comparative study of goodness-of-fit tests for multivariate normality
• A consistent test for multivariate normality based on the empirical characteristic function
• A new approach to the BHEP tests for multivariate normality
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• A test for multivariate normality based on sample entropy and projection pursuit
• A test for normality based on the empirical characteristic function
• A test of p-variate normality
• Adaptive Smoothing and Density-Based Tests of Multivariate Normality
• Comparison of tests for bivariate normality with unknown parameters by transformation to an univariate statistic
• Consistency of some tests for multivariate normality
• Extreme smoothing and testing for multivariate normality
• F-probability plot and its application to multivariate normality
• scientific article; zbMATH DE number 3647917 (Why is no real title available?)
• scientific article; zbMATH DE number 3488423 (Why is no real title available?)
• Limit distributions for Mardia's measure of multivariate skewness
• Measures of multivariate skewness and kurtosis with applications
• On Mardia’s kurtosis test for multivariate normality
• Some p-variate adaptations of the shapiro-wilk test of normality
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Testing for normality in arbitrary dimension
• Testing multivariate normality
• Testing that a stationary time series is Gaussian

Cited in

(6)

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

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