A modified BDS test

DOI10.1016/J.SPL.2020.108794MaRDI QIDQ2006745zbMATH OpenOpenAlexFDO

Authors Wenya Luo, Zhidong Bai, Shurong Zheng, Yong-Chang Hui

Publication date 12 October 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108794

zbMATH Keywords

independencecorrelation integralover-rejectionBDS test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• A monte carlo investigation of the BDS statistic
• Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes
• AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
• Independence in time series: another look at the BDS test
• Detecting serial dependence in tail events: a test dual to the BDS test

Cites work

• scientific article; zbMATH DE number 802770 (Why is no real title available?)
• A generalized BDS statistic
• A test for independence based on the correlation dimension
• AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
• Detecting serial dependence in tail events: a test dual to the BDS test
• Independence in time series: another look at the BDS test
• Measuring the strangeness of strange attractors
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• The BDS statistic and residual test
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

Cited in

(4)

• The BDS statistic and residual test
• Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
• AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
• A monte carlo investigation of the BDS statistic

This page was built for publication: A modified BDS test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2006745)