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Tests for Gaussianity and linearity of multivariate stationary time series

✍ Scribed by T.Subba Rao; W.K. Wong

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 556 KB
Volume: 68
Category: Article
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(97)00150-x

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✦ Synopsis

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 linearity.

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