The Use of Aggregate Time Series in Testing for Gaussianity

DOI10.1111/1467-9892.01506MaRDI QIDQ4544840zbMATH OpenOpenAlexFDO

Authors Paulo Teles, William W. S. Wei

Publication date 5 August 2002

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

Full work available at URL https://doi.org/10.1111/1467-9892.01506

zbMATH Keywords

nonlinear time seriesnon-Gaussian time seriesbispectral densitynoncentrality parameterGaussian time seriespower lossaggregate time seriesbispectral test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 42743 (Why is no real title available?)
• An introduction to bispectral analysis and bilinear time series models
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• Linear Versus Nonlinear Macroeconomies: A Statistical Test
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• The Effect of Aggregation on Prediction in the Autoregressive Model

Cited in

(8)

• Temporal aggregation of lognormal AR processes
• Aggregation and systematic sampling of periodic ARMA processes
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• The use of temporally aggregated data on detecting a mean change of a time series process
• A spectral measure for the information loss of temporal aggregation
• The use of aggregate time series for testing conditional heteroscedasticity
• The effect of temporal aggregation on the estimation accuracy of ARMA models
• The effects of temporal aggregation on tests of linearity of a time series.

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