Testing serial non-independence by self-centring and self-normalizing

DOI10.1080/02331880802506551MaRDI QIDQ3396491zbMATH OpenOpenAlexFDO

Authors Xin-Xin Jiang, Marjorie G. Hahn

Publication date 18 September 2009

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880802506551

zbMATH Keywords

self-normalizationmixingexchangeablestationaryrandom walk modelempirical central limit theoremconditionally mixingself-centringstock daily returns

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Exchangeability for stochastic processes (60G09)

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Cites work

• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• scientific article; zbMATH DE number 1149763 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• A Theorem on Products of Random Variables, With Application to Regression
• Dependent central limit theorems and invariance principles
• Empirical central limit theorems for exchangeable random variables
• On conditionally mixing processes
• Testing that marginal sequences of data are not independent via self-normalization
• The central limit theorem for exchangeable random variables without moments
• When is the Student \(t\)-statistic asymptotically standard normal?

Cited in

(2)

• Autocorrelation and the sum of stochastic variables
• Testing that marginal sequences of data are not independent via self-normalization

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