Local Gaussian Autocorrelation and Tests for Serial Independence

DOI10.1111/JTSA.12195MaRDI QIDQ2954303zbMATH OpenOpenAlexWikidataFDO

Authors Virginia Lacal, Dag Tjøstheim

Publication date 12 January 2017

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

Full work available at URL https://doi.org/10.1111/jtsa.12195

zbMATH Keywords

bootstrapindependence testinglocal Gaussian autocorrelationtime series

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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• scientific article; zbMATH DE number 854956
• ON A SERIAL RANK TEST FOR RANDOMNESS AGAINST AUTOCORRELATION
• A test of location for data with slowly decaying serial correlations

Cites work

• Brownian distance covariance
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimation of entropy and other functionals of a multivariate density
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3483405 (Why is no real title available?)
• Local Gaussian correlation: a new measure of dependence
• Locally parametric nonparametric density estimation
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Modelling Nonlinear Economic Time Series
• Probability. Theory and examples.
• Recognizing and visualizing copulas: an approach using local Gaussian approximation
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS

Cited in

(19)

• Conditional density estimation using the local Gaussian correlation
• Statistical dependence: beyond Pearson's
• Nonparametric estimation of time varying correlation coefficient
• Local Gaussian correlations in financial and commodity markets
• Pairwise local Fisher and naive Bayes: improving two standard discriminants
• Nonparametric estimation of Sibuya's measure of local dependence for time series
• The autodependogram: a graphical device to investigate serial dependences
• On some properties of autopersistence functions and autopersistence graphs
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Some properties of local Gaussian correlation and other nonlinear dependence measures
• Detecting and modelling serial dependence in non-Gaussian and nonlinear time series. (Abstract of thesis)
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
• The Locally Gaussian Partial Correlation
• Estimating and Testing Nonlinear Local Dependence Between Two Time Series
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

Describes a project that uses

Uses Software

• localgauss

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