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Tests for multinormality with applications to time series |
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| Authors: | Takeaki Kariya Ruey S Tsay Nobuhike Terni Hong Li |
| Institution: | 1. Institute of Economic Research , Hitotsubashi University , Tokyo, Japan;2. Graduate School of Business , University of Chicago , Chicago, IL, USA;3. Faculty of Economics , Tohoku University , Scndai, Japan;4. Salomon Brothers Inc , New York, NY, USA |
| Abstract: | Making use of a characterization of multivariate normality by Hermitian polynomials, we propose a multivariate normality test. The approach is then applied to time series analysis by constructing a test for Gaussianity of a stationary univariate series. Simulation study shows that the proposed test has reasonable power and outperforms other tests available in the literature when the innovation series of the time series is symmetric, but non-Gaussian. |
| Keywords: | Bispectrum test Gaussianiiy Hermitian polynomial Kurtosis Skew-ness Test for multivariate normality |