Testing serial correlations in high-dimensional time series via extreme value theory

DOI10.1016/j.jeconom.2020.01.008zbMath1456.62222OpenAlexW3003575226MaRDI QIDQ2305977

Ruey S. Tsay

Publication date: 20 March 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.01.008

zbMATH Keywords

white noiseextreme value theorycross-correlationautocorrelationSpearman's rhoportmanteau test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (4)

Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues ⋮ Testing for symmetric correlation matrices with applications to factor models ⋮ A testing approach to clustering scalar time series ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors

Uses Software

• R

Cites Work

• Unnamed Item
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• Generalized portmanteau statistics and tests of randomness
• Asymptotic covariance structure of serial correlations in multivariate time series
• Modeling Multiple Times Series with Applications
• Testing for high-dimensional white noise using maximum cross-correlations
• Rank correlation and product-moment correlation

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