Non-Linear Portmanteau Tests

Erik Lindström; Jonas Ströjby; Stefan Ingi Adalbjörnsson

Non-Linear Portmanteau Tests

Erik Lindström, Jonas Ströjby, Stefan Ingi Adalbjörnsson

Research output: Chapter in Book/Report/Conference proceeding › Paper in conference proceeding › peer-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 language	English
Title of host publication	[Host publication title missing]
Publisher	http://www.ifac-papersonline.net/
Number of pages	6
Publication status	Published - 2009
Event	15th IFAC Symposium on System Identification: SYSID 2009 - St Malo France, Saint-Malo, France Duration: 2009 Jun 6 → 2009 Jun 8 Conference number: 15 http://www.sysid2009.org/

Publication series

Name
ISSN (Print)	1474-6670

Conference

Conference	15th IFAC Symposium on System Identification
Country/Territory	France
City	Saint-Malo
Period	2009/06/06 → 2009/06/08
Internet address	http://www.sysid2009.org/

Subject classification (UKÄ)

Probability Theory and Statistics

Keywords

Nonlinear System Identification
Model Validation
Basis Functions

Cite this

@inproceedings{60e4730e07ef45e093146ea999f3496c,

title = "Non-Linear Portmanteau Tests",

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.",

keywords = "Nonlinear System Identification, Model Validation, Basis Functions",

author = "Erik Lindstr{\"o}m and Jonas Str{\"o}jby and Adalbj{\"o}rnsson, {Stefan Ingi}",

year = "2009",

language = "English",

publisher = "http://www.ifac-papersonline.net/",

booktitle = "[Host publication title missing]",

note = "15th IFAC Symposium on System Identification : SYSID 2009 ; Conference date: 06-06-2009 Through 08-06-2009",

url = "http://www.sysid2009.org/",

}

TY - GEN

T1 - Non-Linear Portmanteau Tests

AU - Lindström, Erik

AU - Ströjby, Jonas

AU - Adalbjörnsson, Stefan Ingi

N1 - Conference code: 15

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

KW - Nonlinear System Identification

KW - Model Validation

KW - Basis Functions

M3 - Paper in conference proceeding

BT - [Host publication title missing]

PB - http://www.ifac-papersonline.net/

T2 - 15th IFAC Symposium on System Identification

Y2 - 6 June 2009 through 8 June 2009

ER -

Non-Linear Portmanteau Tests

Abstract

Publication series

Conference

Subject classification (UKÄ)

Keywords

Fingerprint

Cite this