Non-Linear Portmanteau Tests

Erik Lindström; Jonas Ströjby; Stefan Ingi Adalbjörnsson

Non-Linear Portmanteau Tests

Erik Lindström, Jonas Ströjby, Stefan Ingi Adalbjörnsson

Forskningsoutput: Kapitel i bok/rapport/Conference proceeding › Konferenspaper i proceeding › Peer review

Sammanfattning

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.

Originalspråk	engelska
Titel på värdpublikation	[Host publication title missing]
Förlag	http://www.ifac-papersonline.net/
Antal sidor	6
Status	Published - 2009
Evenemang	15th IFAC Symposium on System Identification: SYSID 2009 - St Malo France, Saint-Malo, Frankrike Varaktighet: 2009 juni 6 → 2009 juni 8 Konferensnummer: 15 http://www.sysid2009.org/

Publikationsserier

Namn
ISSN (tryckt)	1474-6670

Konferens

Konferens	15th IFAC Symposium on System Identification
Land/Territorium	Frankrike
Ort	Saint-Malo
Period	2009/06/06 → 2009/06/08
Internetadress	http://www.sysid2009.org/

Ämnesklassifikation (UKÄ)

Sannolikhetsteori och statistik

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@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

Sammanfattning

Publikationsserier

Konferens

Ämnesklassifikation (UKÄ)

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