Non-Linear Portmanteau Tests
(2009) 15th IFAC Symposium on System Identification- 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:
https://lup.lub.lu.se/record/1439042
- author
- Lindström, Erik LU ; Ströjby, Jonas LU and Adalbjörnsson, Stefan Ingi LU
- organization
- publishing date
- 2009
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- keywords
- Nonlinear System Identification, Model Validation, Basis Functions
- host publication
- [Host publication title missing]
- pages
- 6 pages
- publisher
- http://www.ifac-papersonline.net/
- conference name
- 15th IFAC Symposium on System Identification
- conference location
- Saint-Malo, France
- conference dates
- 2009-06-06 - 2009-06-08
- 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
- 2016-04-01 13:15:19
- date last changed
- 2022-01-27 18:07:47
@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}}, keywords = {{Nonlinear System Identification; Model Validation; Basis Functions}}, language = {{eng}}, publisher = {{http://www.ifac-papersonline.net/}}, title = {{Non-Linear Portmanteau Tests}}, year = {{2009}}, }