Tests of Independence in Time Series

DOI10.1111/1467-9892.00084MaRDI QIDQ3838313zbMATH OpenOpenAlexFDO

Authors Reg J. Kulperger, Richard A. Lockhart

Publication date 9 August 1998

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

Full work available at URL https://doi.org/10.1111/1467-9892.00084

zbMATH Keywords

autoregressive processBrownian bridgeCramer-von MisesKolmogorov-Smirnovlinear statisticsmoving averageweighted Cramer-von Misesweighted Kolmogorov-Smirnov

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(31)

• Testing independence of two autocorrelated binary time series
• Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation
• Degrees of freedom of a time series
• Serial independence tests for innovations of conditional mean and variance models
• An omnibus test for independence of a survival time from a covariate
• Testing stationary processes for independence
• Tests of serial dependence for multivariate time series with arbitrary distributions
• Data-driven portmanteau tests for time series
• A model-free test for independence between time series
• Tests of independence and randomness based on the empirical copula process
• Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
• A use of the Stein-Chen method in time series analysis
• Length tests for goodness of fit
• Large-sample tests of homogeneity for time series models
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• Testing Serial Independence against Time Irreversibility
• A generalized portmanteau test for independence between two stationary time series
• Dependent SiZer: Goodness-of-Fit Tests for Time Series Models
• scientific article; zbMATH DE number 3965204 (Why is no real title available?)
• A test for independence based on the correlation dimension
• Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier
• scientific article; zbMATH DE number 775842 (Why is no real title available?)
• Most stringent test of independence for time series
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• The difference-sign runs length distribution in testing for serial independence
• Tests for \(m\)-dependence based on sample splitting methods
• A nonparametric test of serial independence for time series and residuals
• IID time series testing
• Adaptive permutation tests for serial independence
• Generalized runs tests for the IID hypothesis
• Testing for independence in heavy-tailed time series using the codifference function

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