scientific article; zbMATH DE number 1069593

MaRDI QIDQ4356554zbMATH OpenFDO

Authors Dag Tjøstheim, Hans J. Skaug

Publication date 5 February 1998

zbMATH Keywords

ARMA modelsbootstrapestimated densitiestesting independencetime series

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
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Cited in

(29)

• A consistent nonparametric test for serial independence
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Linearity testing using local polynomial approximation
• Entropy and predictability of stock market returns.
• Statistical dependence: beyond Pearson's
• Testing a linear dynamic panel data model against nonlinear alternatives
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses
• Testing the Markov property with high frequency data
• A non-parametric independence test using permutation entropy
• Testing serial non-independence by self-centring and self-normalizing
• scientific article; zbMATH DE number 3963024 (Why is no real title available?)
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• A nonparametric test of serial independence based on the empirical distribution function
• A test for independence based on the correlation dimension
• The relationship between budgetary expenditure and economic growth in Poland
• Diagnostic checking for the adequacy of nonlinear time series models
• Nonparametric testing for serial independence using the NRL statistic
• Testing serial independence via density-based measures of divergence
• Tests of serial independence based on Kendall's process
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Nonparametric bootstrap tests for independence of generalized errors
• An efficient integrated nonparametric entropy estimator of serial dependence
• A nonparametric test of serial independence for time series and residuals
• Rank-based max-sum tests for mutual independence of high-dimensional random vectors
• Testing unconditional and conditional independence via mutual information
• Test for serial correlation in panel data models with interactive fixed effects
• Another Look at Dependence: The Most Predictable Aspects of Time Series
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• A new statistic and practical guidelines for nonparametric Granger causality testing

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