A Nonparametric Test of Serial Independence for Time Series and Residuals

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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Year of publication:	2001
Authors:	Ghoudi, Kilani ; Kulperger, Reg J. ; Rémillard, Bruno
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 79.2001, 2, p. 191-218
Publisher:	Elsevier
Keywords:	independence serial independence empirical processes pseudo-observations residuals weak convergence Cramer-von Mises statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160523