A nonparametric test of serial independence based on the empirical distribution function

DOI10.1093/biomet/80.3.591zbMath0790.62044OpenAlexW1999454708MaRDI QIDQ4280029

Dag Tjøstheim, Hans Julius Skaug

Publication date: 28 June 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.3.591

zbMATH Keywords

time seriespowersimulation resultssizestrong consistencytesting independencenull distributiondegenerate von Mises statisticshigher lag dependencelag one dependent alternativestests of serial dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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