An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence

DOI10.1111/jtsa.12520zbMath1450.62105OpenAlexW2972349853WikidataQ126345679 ScholiaQ126345679MaRDI QIDQ5121010

Xuexin Wang, Yixiao Sun

Publication date: 16 September 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12520

zbMATH Keywords

fixed-smoothing asymptotics\(F\) distributionportmanteau testlack of autocorrelationsorthonormal series variance estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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