Permutation testing for dependence in time series

DOI10.1111/JTSA.12638MaRDI QIDQ6134630zbMATH OpenOpenAlexFDO

Authors Joseph P. Romano

Publication date 22 August 2023

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

Full work available at URL https://arxiv.org/abs/2009.03170

zbMATH Keywords

hypothesis testingautocorrelationstationary process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Abstract: Given observations from a stationary time series, permutation tests allow one to construct exactly level $alpha$ tests under the null hypothesis of an i.i.d. (or, more generally, exchangeable) distribution. On the other hand, when the null hypothesis of interest is that the underlying process is an uncorrelated sequence, permutation tests are not necessarily level $alpha$, nor are they approximately level $alpha$ in large samples. In addition, permutation tests may have large Type 3, or directional, errors, in which a two-sided test rejects the null hypothesis and concludes that the first-order autocorrelation is larger than 0, when in fact it is less than 0. In this paper, under weak assumptions on the mixing coefficients and moments of the sequence, we provide a test procedure for which the asymptotic validity of the permutation test holds, while retaining the exact rejection probability $alpha$ in finite samples when the observations are independent and identically distributed. A Monte Carlo simulation study, comparing the permutation test to other tests of autocorrelation, is also performed, along with an empirical example of application to financial data.

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Cited in

(2)

• Multivariate nonnegative trigonometric sums distributions for high-dimensional multivariate circular data
• Permutation test of independence in tails for dependent processes

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