IID time series testing

MaRDI QIDQ6068910zbMATH OpenFDO

Authors Andrey Sarantsev

Publication date 15 December 2023

Full work available at URL https://arxiv.org/abs/2203.10405, http://tsp.imath.kiev.ua/files/2710/art2710_04.pdf

zbMATH Keywords

heteroscedastic modelsLjung-Box testwhite noise

Mathematics Subject Classification ID

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

Recommendations

• Generalized runs tests for the IID hypothesis
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Generalized runs tests for heteroscedastic time series
• Tests of Independence in Time Series
• A white noise test under weak conditions

Cited in

(1)

• A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process

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