| 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 | en |
| ISSN | 0143-9782 1467-9892 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72510 ) |
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