NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE

DOI10.1111/J.1467-9892.1992.TB00092.XzbMath0745.62044OpenAlexW1973369609MaRDI QIDQ4012959

Lanh Tat Tran, Ngai Hang Chan

Publication date: 27 September 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00092.x

zbMATH Keywords

consistencyhistogramscorrelation approachnull hypothesis of independencetests for serial dependencebilinear time series modeldistance between joint and marginal densities

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (20)

Density estimation for time series by histograms ⋮ Order statistics for nonstationary time series ⋮ Testing for serial independence of panel errors ⋮ Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation ⋮ DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ Most stringent test of independence for time series ⋮ On histograms for linear processes ⋮ Efficient density estimation in an AR(1) model ⋮ Measures of Dependence and Tests of Independence ⋮ Testing for dependence in the input to a linear time series model ⋮ Nonparametric statistics for testing of linearity and serial independence ⋮ Rank-based tests for autoregressive against bilinear serial dependence ⋮ Kernel density estimation for spatial processes: The \(L_{1}\) theory ⋮ Testing serial independence via density-based measures of divergence ⋮ A new look at portmanteau tests ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Cloning of distributions ⋮ Adaptive permutation tests for serial independence ⋮ Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation ⋮ A consistent nonparametric test for serial independence

Cites Work

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• Bilinear Markovian representation and bilinear models
• Averaged shifted histograms: Effective nonparametric density estimators in several dimensions
• Asymptotic efficiency of rank tests of randomness against autocorrelation
• Density estimation for time series by histograms
• Rank order statistics for time series models
• The Rank Version of von Neumann's Ratio Test for Randomness
• Probability inequalities for sums of absolutely regular processes and their applications

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