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A test for the presence of pure feedback in multivariate dynamic stochastic systems

โœ Scribed by Junji Nakano; Shigemi Tagami

Publisher
Springer Japan
Year
1989
Tongue
English
Weight
663 KB
Volume
41
Category
Article
ISSN
0020-3157

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โœฆ Synopsis

This paper describes a procedure for testing the presence of a pure feedback loop in a transfer function model for a multivariate discrete dynamic stochastic system. A modification of the portmanteau statistic based on sample cross-covariance matrices of the prewhitened series is proposed. The statistic is shown to be asymptotically distributed according to a zZ-distribution with certain degrees of freedom under some pure feedback assumptions. Some numerical results are given to show the behavior of the proposed method.

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