The Use of Aggregate Time Series in Testing for Gaussianity

DOI10.1111/1467-9892.01506zbMath1001.62028OpenAlexW3125662073MaRDI QIDQ4544840

Paulo Teles, William W. S. Wei

Publication date: 5 August 2002

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

Full work available at URL: https://doi.org/10.1111/1467-9892.01506

zbMATH Keywords

nonlinear time seriesnon-Gaussian time seriesbispectral densitynoncentrality parameterGaussian time seriespower lossaggregate time seriesbispectral test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

The effect of temporal aggregation on the estimation accuracy of ARMA models ⋮ The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ A spectral measure for the information loss of temporal aggregation ⋮ Temporal Aggregation of Lognormal AR processes

Cites Work

• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• Linear Versus Nonlinear Macroeconomies: A Statistical Test
• The Effect of Aggregation on Prediction in the Autoregressive Model

This page was built for publication: The Use of Aggregate Time Series in Testing for Gaussianity