Title of article
A Nonparametric Test of Serial Independence for Time Series and Residuals
Author/Authors
Ghoudi، نويسنده , , Kilani and Kulperger، نويسنده , , Reg J. and Rémillard، نويسنده , , Bruno، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2001
Pages
28
From page
191
To page
218
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.
Keywords
Independence , serial independence , Pseudo-observations , empirical processes , Residuals , weak convergence , Cramér–von Mises statistics
Journal title
Journal of Multivariate Analysis
Serial Year
2001
Journal title
Journal of Multivariate Analysis
Record number
1557738
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