A nonparametric test of serial independence based on the empirical distribution function

DOI10.1093/biomet/80.3.591zbMath0790.62044OpenAlexW1999454708MaRDI QIDQ4280029

Publication date: 28 June 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.3.591

zbMATH Keywords

time series power simulation results size strong consistency testing independence null distribution degenerate von Mises statistics higher lag dependence lag one dependent alternatives tests of serial dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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