Generalized Spectral Tests for Serial Dependence

DOI10.1111/1467-9868.00250MaRDI QIDQ4506001zbMATH OpenOpenAlexFDO

Authors Yongmiao Hong

Publication date 3 July 2001

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9868.00250

zbMATH Keywords

distribution-free testsnonlinear time seriesempirical distribution functionweak convergencegeneralised spectrumKolmogorov-Smirnov criterionmultiparameter empirical processCramer-von Mises criterion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• Consistent Testing for Serial Correlation of Unknown Form
• A nonparametric test of serial independence based on the empirical distribution function
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE

Cited in

(34)

• A nonparametric distribution-free test for serial independence of errors
• A non-parametric independence test using permutation entropy
• Adaptive permutation tests for serial independence
• Clustering of time series using quantile autocovariances
• Quantile spectral processes: asymptotic analysis and inference
• Tests of serial independence based on Kendall's process
• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Testing for serial independence of panel errors
• Tests of independence and randomness based on the empirical copula process
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Testing independence among a large number of high-dimensional random vectors
• Estimating and Testing Nonlinear Local Dependence Between Two Time Series
• A flexible semiparametric forecasting model for time series
• scientific article; zbMATH DE number 967292 (Why is no real title available?)
• A nonparametric test of serial independence for time series and residuals
• Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
• Bayesian copula spectral analysis for stationary time series
• Rank-based max-sum tests for mutual independence of high-dimensional random vectors
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Generalized C() tests for estimating functions with serial dependence
• Testing unconditional and conditional independence via mutual information
• A copula spectral test for pairwise time reversibility
• Testing serial independence via density-based measures of divergence
• The integrated copula spectrum
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Quantile-crossing spectrum and spline autoregression estimation
• Local linear fitting under near epoch dependence: uniform consistency with convergence rates
• Test for serial correlation in panel data models with interactive fixed effects
• Spline Autoregression Method for Estimation of Quantile Spectrum
• Statistical dependence: beyond Pearson's
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Fourier analysis of serial dependence measures
• Tests of serial dependence for multivariate time series with arbitrary distributions
• Tests for \(m\)-dependence based on sample splitting methods

This page was built for publication: Generalized Spectral Tests for Serial Dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4506001)