Tests for multinormality with applications to time series

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

研究成果: Article査読

3 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)519-536
ページ数18
ジャーナルCommunications in Statistics - Theory and Methods
28
3-4
DOI
出版ステータスPublished - 1999

ASJC Scopus subject areas

  • Statistics and Probability

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