| Title | Non-Linear Portmanteau Tests |
| Authors | Erik Lindström, Jonas Ströjby, Stefan Ingi Adalbjörnsson |
| Year | 2009 |
| Pages | 6 |
| Document type | Conference paper |
| Conference name | 15th IFAC Symposium on System Identification, SYSID 2009 |
| Conference Date | 2009-07-07 |
| Conference Location | St Malo France |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | http://www.ifac-papersonline.net/ |
| Abstract English | 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, |
| ISBN/ISSN/Other | ISSN: 1474-6670 |
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