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

zbMATH Keywords

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A test for independence based on the correlation dimension
• Approximation Theorems of Mathematical Statistics
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Consistent Nonparametric Entropy-Based Testing
• Kendall's tau for serial dependence
• Measuring statistical dependences in a time series
• On U-statistics and v. mise? statistics for weakly dependent processes
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION

Cited in

(6)

• On portmanteau-type tests for nonlinear multivariate time series
• A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
• Detecting serial dependence in tail events: a test dual to the BDS test
• Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation
• A low-dimension portmanteau test for non-linearity
• Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

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