Non parametric portmanteau tests for detecting non linearities in high dimensions

DOI10.1080/03610926.2013.815209zbMath1338.62130OpenAlexW2237020453MaRDI QIDQ2807688

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

zbMATH Keywords

nonlinear time seriescorrelation integralrank-based BDS test statisticssecond-order Rényi entropy

Mathematics Subject Classification ID

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

Related Items (2)

Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation ⋮ On portmanteau-type tests for nonlinear multivariate time series

Cites Work

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• Consistent Nonparametric Entropy-Based Testing

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