Non parametric portmanteau tests for detecting non linearities in high dimensions

DOI10.1080/03610926.2013.815209zbMATH Open1338.62130OpenAlexW2237020453MaRDI QIDQ2807688FDOQ2807688

Authors: Jan G. De Gooijer, Ao Yuan 

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.815209

Recommendations

• A low-dimension portmanteau test for non-linearity
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• Tests for Serial Independence and Linearity Based on Correlation Integrals

zbMATH Keywords

nonlinear time seriescorrelation integralrank-based BDS test statistics[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=second-order+R%EF%BF%BD%EF%BF%BDnyi+entropy&go=Go second-order R��nyi entropy]

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Approximation Theorems of Mathematical Statistics
• A test for independence based on the correlation dimension
• Title not available (Why is that?)
• Title not available (Why is that?)
• On U-statistics and v. mise? statistics for weakly dependent processes
• Kendall's tau for serial dependence
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Consistent Nonparametric Entropy-Based Testing
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• Measuring statistical dependences in a time series

Cited In (3)

• On portmanteau-type tests for nonlinear multivariate time series
• A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
• Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation

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