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FREQUENCY DOMAIN TESTS OF MULTIVARIATE GAUSSIANITY AND LINEARITY

โœ Scribed by Woon Wong


Book ID
108549282
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
296 KB
Volume
18
Category
Article
ISSN
0143-9782

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Tests for Gaussianity and linearity of m
โœ T.Subba Rao; W.K. Wong ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 556 KB

We propose tests for Gaussianity of a vector stationary time series based on multivariate measures of skewness and kurtosis. The tests are illustrated by two real sets of data. We discuss briefly some properties of linear transforms of vector time series, and stress the need for separate tests for l