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Symmetric (h, ϕ)-divergence approach to serial independence testing

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  • Emad Ashtari Nezhad

    (General Administration of Economic Affairs and Finance of Razavi Khorasan
    ME Institute)

Abstract

This study presents a novel framework for testing independence in time series using $$(h,\phi )$$ ( h , ϕ ) -divergence and quantile symbolization. We derived the asymptotic distribution of the test statistic and proposed a bootstrap method to enhance reliability. The simulation results showed that "Cressie and Read" and "Rukhin" divergences are optimal when aligned with Pearson’s divergence, while Rényi is optimal for cubic divergence. The proposed tests demonstrated superior size-corrected power compared to existing methods, particularly in Jensen-Shannon and Total Variation divergences across various sample sizes. Finally, applications to stock price data from the Tehran Stock Exchange confirmed the method’s effectiveness in detecting dependence and validating model adequacy.

Suggested Citation

  • Emad Ashtari Nezhad, 2025. "Symmetric (h, ϕ)-divergence approach to serial independence testing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 34(4), pages 787-814, September.
    • Handle: RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00801-4
    DOI: 10.1007/s10260-025-00801-4
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