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Testing Linearity For Stationary Time Series Using the Sample Interquartile Range

โœ Scribed by J. Yuan


Book ID
108549441
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
209 KB
Volume
21
Category
Article
ISSN
0143-9782

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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