Advanced

Non-Linear Portmanteau Tests

Lindström, Erik LU ; Ströjby, Jonas LU and Adalbjörnsson, Stefan Ingi LU (2009) 15th IFAC Symposium on System Identification In [Host publication title missing]
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
keywords
Nonlinear System Identification, Model Validation, Basis Functions
in
[Host publication title missing]
pages
6 pages
publisher
http://www.ifac-papersonline.net/
conference name
15th IFAC Symposium on System Identification
external identifiers
  • scopus:80051643199
ISSN
1474-6670
language
English
LU publication?
yes
id
60e4730e-07ef-45e0-9314-6ea999f3496c (old id 1439042)
date added to LUP
2009-07-28 12:49:03
date last changed
2017-02-08 13:39:14
@inproceedings{60e4730e-07ef-45e0-9314-6ea999f3496c,
  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.},
  author       = {Lindström, Erik and Ströjby, Jonas and Adalbjörnsson, Stefan Ingi},
  booktitle    = {[Host publication title missing]},
  issn         = {1474-6670},
  keyword      = {Nonlinear System Identification,Model Validation,Basis Functions},
  language     = {eng},
  pages        = {6},
  publisher    = {http://www.ifac-papersonline.net/},
  title        = {Non-Linear Portmanteau Tests},
  year         = {2009},
}