A simple nonparametric test for independence

Bruce Mizrach (Department of Economics, Rutgers University)

A stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.

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Year of publication:	1995 ; This draft: January 1995
Authors:	Mizrach, Bruce Marshall
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	nonlinear dependence \| U-statistics \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory \| Statistische Methodenlehre \| Statistical theory \| Nichtlineare Regression \| Nonlinear regression

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A simple nonparametric test for independence. - New Brunswick, NJ, 1995. - 31 Sp

Persistent link: https://www.econbiz.de/10011576915