Tests for multinormality with applications to time series

Takeaki Kariya, Ruey S. Tsay, Nobuhiko Terui, Hong Li

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

Making use of a characterization of multivariate normality by Hermitian polynomials, we propose a multivariate normality test. The approach is then applied to time series analysis by constructing a test for Gaussianity of a stationary univariate series. Simulation study shows that the proposed test has reasonable power and outperforms other tests available in the literature when the innovation series of the time series is symmetric, but non-Gaussian.

Original languageEnglish
Pages (from-to)519-536
Number of pages18
JournalCommunications in Statistics - Theory and Methods
Volume28
Issue number3-4
DOIs
Publication statusPublished - 1999

Keywords

  • Bispectrum test
  • Gaussianity
  • Hermitian polynomial
  • Kurtosis
  • Skewness
  • Test for multivariate normality

ASJC Scopus subject areas

  • Statistics and Probability

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