Testing for Serial Independence: Beyond the Portmanteau Approach

DOI10.1080/00031305.2016.1264314MaRDI QIDQ5882535zbMATH OpenOpenAlexWikidataFDO

Authors Luca Bagnato, L. De Capitani, Antonio Punzo

Publication date 17 March 2023

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00031305.2016.1264314

zbMATH Keywords

chi-squared statisticmodel diagnostic checkingmulti-way contingency tablenonlinear time seriesPortmanteau approachserial dependence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A nonparametric test of serial independence based on the empirical distribution function
• A sharper Bonferroni procedure for multiple tests of significance
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• An improved Bonferroni procedure for multiple tests of significance
• ARCH modeling in finance. A review of the theory and empirical evidence
• Consistent Nonparametric Entropy-Based Testing
• scientific article; zbMATH DE number 1817585 (Why is no real title available?)
• scientific article; zbMATH DE number 3168214 (Why is no real title available?)
• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 3624650 (Why is no real title available?)
• scientific article; zbMATH DE number 4128271 (Why is no real title available?)
• scientific article; zbMATH DE number 1862807 (Why is no real title available?)
• Inference For Autocorrelations Under Weak Assumptions
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• On a measure of lack of fit in time series models
• On the Choice of the Number of Class Intervals in the Application of the Chi Square Test
• ON THE STRENGTH OF DEPENDENCE OF A TIME SERIES GENERATED BY A CHAOTIC MAP
• Some Methods for Strengthening the Common χ 2 Tests
• Testing serial independence via density-based measures of divergence
• Tests of independence and randomness based on the empirical copula process
• The autodependogram: a graphical device to investigate serial dependences

Cited in

(3)

• Testing serial non-independence by self-centring and self-normalizing
• Testing serial independence via density-based measures of divergence
• Nonparametric dependence modeling via cluster analysis: A financial contagion application

Describes a project that uses

Uses Software

• R
• tseries
• gam
• RMetrics
• fGarch
• SDD

This page was built for publication: Testing for Serial Independence: Beyond the Portmanteau Approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5882535)