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A Nonparametric Test of Serial Independence for Time Series and Residuals

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Author Info
Ghoudi, Kilani
Kulperger, Reg J.
Rémillard, Bruno

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Abstract

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.

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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 79 (2001)
Issue (Month): 2 (November)
Pages: 191-218
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Handle: RePEc:eee:jmvana:v:79:y:2001:i:2:p:191-218

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Related research
Keywords: independence serial independence empirical processes pseudo-observations residuals weak convergence Cramer-von Mises statistics;

Cited by:
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  1. Jean-François Quessy, 2009. "Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho," Metrika, Springer, vol. 70(3), pages 315-338, November. [Downloadable!] (restricted)
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