ABSTRACT
What the result in Eq. (3.9) tells us is that if the vector time series { X1} is linear in the sense that it has the representation in Eq. (3.1), then the normalised function defined by the left-hand-side expression Eq. (3.9) is always a constant. This can be considered as a linear characterisation in terms of higher order spectra for vector time series. Recently Wong (1997) has purposed frequency domain tests for Gaussianity and linearity.
