scientific article; zbMATH DE number 1069593
Measuring dependence and testing independence are important problems in all of statistics. We look at aspects of these problems in the framework of time series analysis. For a given stationary time series \(\{X_t\}\) we are interested in testing independence between the \(X_t\)'s. Such tests are of interest in diagnostic fitting but also in other contexts. Correlation type tests are mostly used within the ARMA model class. However, it is known that such tests have poor power against many nonlinear alternatives. The approach in this paper is more general. We will be concerned with nonparametric tests based on estimated densities. Then the power is reduced compared to the correlation test in ARMA models, but the tests retain power in nonlinear situations. Both asymptotic properties and bootstrap arguments will be used in constructing the tests. The bootstrap seems crucial in moderate sample sizes. There are many open problems, some of which we plan to explore in subsequent publications. Problems currently under investigation are the use of empirical distribution functions instead of estimated density functions, functionals extending over several lags and tests of conditional independence involving more than one time series. Also, in this paper our examples are restricted to first order models, although it is fairly obvious how the analysis can be extended to higher order models. For the entire collection see [Zbl 0846.00010].
- NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
- A consistent nonparametric test for serial independence
- Nonparametric statistics for testing of linearity and serial independence
- Nonparametric testing for serial independence using the NRL statistic
- A nonparametric test of serial independence based on the empirical distribution function
- A nonparametric distribution-free test for serial independence of errors
- 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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