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標題:Frequency Domain Tests of Multivariate Gaussianity and Nonlinearity
學年95
學期1
出版(發表)日期2007/01/01
作品名稱Frequency Domain Tests of Multivariate Gaussianity and Nonlinearity
作品名稱(其他語言)
著者黃文光
單位淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數Journal of Time Series Analysis 18(2) , pp.181-194
摘要A stationary multivariate time series {Xt} is defined as linear if it can be written in the form Xt = ∑∞j=−∞Ajet−j where Aj are square matrices and et are independent and identically distributed random vectors. If the et} are normally distributed, then {Xtis a multivariate Gaussian linear process. This paper is concerned with the testing of departures of a vector stationary process from multivariate Gaussianity and linearity using the bispectral approach. First the definition and properties of cumulants of random matrices are used to obtain the expressions for the higher-order cumulant and spectral vectors of a linear vector process as defined above. Then it is shown that linearity of a vector process implies constancy of the modulus square of its normalized higher-order spectra whereas the component of such a vector process does not necessarily have a linear representation. Finally, statistics for the testing of multivariate Gaussianity and linearity are proposed.
關鍵字vectors;testing of multivariate Gaussianity and linearity
語言英文
ISSN0143-9782;1467-9892
期刊性質國外
收錄於SCI;
產學合作
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國別英國
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