Frequency Domain Tests of Multivariate Gaussianity and Nonlinearity

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72510

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題名:	Frequency Domain Tests of Multivariate Gaussianity and Nonlinearity
作者:	黃文光
貢獻者:	淡江大學財務金融學系
關鍵詞:	vectors;testing of multivariate Gaussianity and linearity
日期:	2007-01
上傳時間:	2011-10-24 10:31:20 (UTC+8)
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.
關聯:	Journal of Time Series Analysis 18(2) , pp.181-194
DOI:	10.1111/1467-9892.00045
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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