Generalized runs tests for heteroscedastic time series

DOI10.1080/10485259808832735zbMATH Open0899.62058OpenAlexW2046396154MaRDI QIDQ4385705FDOQ4385705

Jean-Marie Dufour, Marc Hallin, Ivan Mizera

Publication date: 15 November 1998

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259808832735

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zbMATH Keywords

time seriesserial dependenceportmanteau testtest of randomnessaligned runs statisticsgeneralized runs statisticstesting for nonhomogeneous white noise

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

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Cited In (11)

• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• Simplicial bivariate tests for randomness
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• On high-dimensional sign tests
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
• A conversation with Marc Hallin
• Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
• The quantilogram: with an application to evaluating directional predictability
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Tests of serial dependence for multivariate time series with arbitrary distributions

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