FREQUENCY DOMAIN TESTS OF MULTIVARIATE GAUSSIANITY AND LINEARITY

DOI10.1111/1467-9892.00045zbMath0918.62067OpenAlexW2018160669MaRDI QIDQ4221797

Woon-Kwong Wong

Publication date: 29 June 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00045

zbMATH Keywords

linear representationspectral vectorsstationary multivariate time seriesGaussian time serieshigher-order cumulantasymptotic noncentral chi-square distributioncumulants of random matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Testing time reversibility without moment restrictions ⋮ Studies of information quantities and information geometry of higher order cumulant spaces ⋮ A bootstrap test for time series linearity

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