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The Use of Aggregate Time Series in Testing for Gaussianity

โœ Scribed by PAULO TELES; WILLIAM W. S. WEI


Book ID
108549552
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
178 KB
Volume
23
Category
Article
ISSN
0143-9782

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๐Ÿ“œ SIMILAR VOLUMES


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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

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Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the e ects of temporal aggregation on testing for linearity, basing our analysis on both time-and frequency-domain tests. The results show that temporal aggregation weakens nonlinearity an