A modified BDS test

DOI10.1016/j.spl.2020.108794zbMath1450.62112OpenAlexW3023798508MaRDI QIDQ2006745

Wenya Luo, Yong-Chang Hui, Zhi-Dong Bai, Shurong Zheng

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

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

Cites Work

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• Measuring the strangeness of strange attractors
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• The BDS statistic and residual test
• A generalized BDS statistic
• Detecting serial dependence in tail events: a test dual to the BDS test
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• 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
• Independence in time series: another look at the BDS test
• Optimal Range for the iid Test Based on Integration Across the Correlation Integral

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