A nonparametric test of serial independence for time series and residuals

被引：45
|
作者：
Ghoudi, K [1 ]
Kulperger, RJ
Rémillard, B
机构：
[1] Univ Quebec, Trois Rivieres, PQ GA9 5H7, Canada
[2] Univ Western Ontario, London, ON, Canada
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2001年 / 79卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
independence; serial independence; empirical processes; pseudo-observations; residuals; weak convergence; Cramer-von Mises statistics;
D O I：
10.1006/jmva.2000.1967
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper presents nonparametric tests of independence that can be used to test the independence of p random variables, serial independence for time series, or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression residuals are discussed. (C) 2001 Academic Press.
引用
收藏
页码：191 / 218
页数：28
相关论文
共 50 条
  • [11] A NONPARAMETRIC, DISTRIBUTION-FREE TEST FOR SERIAL INDEPENDENCE IN STOCK RETURNS
    ASHLEY, RA
    PATTERSON, DM
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (02) : 221 - 227
  • [12] A NONPARAMETRIC DISTRIBUTION-FREE TEST FOR SERIAL INDEPENDENCE IN STOCK RETURNS - A CORRECTION
    CORRADO, CJ
    SCHATZBERG, J
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1990, 25 (03) : 411 - 415
  • [13] Nonparametric Test for Financial Time Series Comparisons
    Bonnini, Stefano
    Borghesi, Michela
    MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022, 2022, : 121 - 126
  • [14] A NONPARAMETRIC TEST FOR STATIONARITY IN FUNCTIONAL TIME SERIES
    van Delft, Anne
    Characiejus, Vaidotas
    Dette, Holger
    STATISTICA SINICA, 2021, 31 (03) : 1375 - 1395
  • [15] ON THE DISTRIBUTION OF INDEPENDENCE TEST FOR THE RESIDUALS OF SPACE-TIME ARMA MODELS
    NAGARSENKER, B
    NAGARSENKER, PB
    COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS, 1982, 11 (06): : 653 - 661
  • [16] Multivariate nonparametric test of independence
    Fan, Yanan
    de Micheaux, Pierre Lafaye
    Penev, Spiridon
    Salopek, Donna
    JOURNAL OF MULTIVARIATE ANALYSIS, 2017, 153 : 189 - 210
  • [17] A multivariate nonparametric test of independence
    Bakirov, Nail K.
    Rizzo, Maria L.
    Szekely, Gabor J.
    JOURNAL OF MULTIVARIATE ANALYSIS, 2006, 97 (08) : 1742 - 1756
  • [18] A SIMPLE NONPARAMETRIC TEST OF INDEPENDENCE
    BLOMQVIST, N
    ANNALS OF MATHEMATICAL STATISTICS, 1950, 21 (04): : 616 - 617
  • [19] Testing serial independence of object-valued time series
    Jiang, Feiyu
    Gao, Hanjia
    Shao, Xiaofeng
    BIOMETRIKA, 2024, 111 (03) : 925 - 944
  • [20] Most stringent test of independence for time series
    Khan, Waqar Muhammad
    Khan, Asad ul Islam
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2020, 49 (11) : 2808 - 2826
12345