Optimal Range for the iid Test Based on Integration Across the Correlation Integral

DOI10.1080/07474930500243001zbMATH Open1071.62078OpenAlexW1970144546MaRDI QIDQ5697353FDOQ5697353

Authors Evžen Kočenda, Ľuboš Briatka 

Publication date 17 October 2005

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930500243001

zbMATH Keywords

tablesMonte Carlochaosnonlinear dynamicscorrelation integralhigh-frequency economic and financial datapower testssingle-blind competition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Robustness and adaptive procedures (parametric inference) (62F35) Dynamical systems in optimization and economics (37N40) Applications of dynamical systems (37N99)

Recommendations

• OPTIMALITY FOR THE INTEGRATED CONDITIONAL MOMENT TEST
• Optimal tests for the correlation coefficient in a symmetric multivariate normal population
• scientific article; zbMATH DE number 1178219
• On the asymptotic efficiency of certain correlation tests of fit
• On optimum invariant tests of equality of intraclass correlation coefficients
• On optimal tests for general interval-hypotheses
• A BETA‐OPTIMAL TEST OF THE EQUICORRELATION COEFFICIENT

Cites Work

• A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
• A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
• A single-blind controlled competition among tests for nonlinearity and chaos
• A test for independence based on the correlation dimension
• A two-dimensional mapping with a strange attractor
• AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
• Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
• Chaos and the compass rose
• Chaos in East European black market exchange rates
• Compound Random Number Generators
• Computer Generation of Normal Random Variables
• Detecting serial dependence in tail events: a test dual to the BDS test
• Deterministic Nonperiodic Flow
• Distribution of the estimated lyapunov exponents from noisy chaotic time series
• Exceptional events as evidence for determinism
• Nonlinearities in the exchange rates returns and volatility
• Nonlinearity and Endogeneity in Macro-Asset Pricing
• Nuisance parameter free properties of correlation integral based statistics
• Portmanteau model diagnostics and tests for nonlinearity: A comparative Monte Carlo study of two alternative methods
• Robust inference with GMM estimators
• STATISTICAL ERROR IN A CHORD ESTIMATOR OF CORRELATION DIMENSION: THE “RULE OF FIVE”
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

Cited In (2)

• A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
• A modified BDS test

This page was built for publication: Optimal Range for the iid Test Based on Integration Across the Correlation Integral

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697353)