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 |
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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 | |
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ISSN (Print) | 1474-6670 |
Conference
Conference | 15th IFAC Symposium on System Identification |
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Country/Territory | France |
City | Saint-Malo |
Period | 2009/06/06 → 2009/06/08 |
Internet address |
Subject classification (UKÄ)
- Probability Theory and Statistics
Keywords
- Nonlinear System Identification
- Model Validation
- Basis Functions