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Testing Serial Independence via Density-Based Measures of Divergence

Author

Listed:
  • Luca Bagnato

    (Università Cattolica del Sacro Cuore)

  • Lucio De Capitani

    (Università di Milano-Bicocca)

  • Antonio Punzo

    (Università di Catania)

Abstract

This article reviews some nonparametric serial independence tests based on measures of divergence between densities. Among others, the well-known Kullback–Leibler, Hellinger, Tsallis, and Rosenblatt divergences are analyzed. Moreover, their copula-based version is taken into account. Via a wide simulation study, the performances of the considered serial independence tests are compared under different settings. Both single-lag and multiple-lag testing procedures are investigated to find out the best “omnibus” solution.

Suggested Citation

  • Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2014. "Testing Serial Independence via Density-Based Measures of Divergence," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 627-641, September.
    • Handle: RePEc:spr:metcap:v:16:y:2014:i:3:d:10.1007_s11009-013-9320-4
    DOI: 10.1007/s11009-013-9320-4
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