Non-Linear Portmanteau Tests

Erik Lindström, Jonas Ströjby, Stefan Ingi Adalbjörnsson

Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceedingpeer-review

1 Citation (SciVal)

Abstract

We derive Portmanteau tests for a large class of non-linear time series models. This is done by replacing the linear measure of dependence (correlation) with a more general concept. Asymptotic distributions for the test statistics are derived. The methodology is computationally inexpensive, yet more flexible than most similar tests. The tests are evaluated on two different sets of simulated data.
Original languageEnglish
Title of host publication[Host publication title missing]
Publisherhttp://www.ifac-papersonline.net/
Number of pages6
Publication statusPublished - 2009
Event15th IFAC Symposium on System Identification: SYSID 2009 - St Malo France, Saint-Malo, France
Duration: 2009 Jun 62009 Jun 8
Conference number: 15
http://www.sysid2009.org/

Publication series

Name
ISSN (Print)1474-6670

Conference

Conference15th IFAC Symposium on System Identification
Country/TerritoryFrance
CitySaint-Malo
Period2009/06/062009/06/08
Internet address

Subject classification (UKÄ)

  • Probability Theory and Statistics

Keywords

  • Nonlinear System Identification
  • Model Validation
  • Basis Functions

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