Generalized spectral tests for serial dependence

By Yongmiao Hong. 2000

75 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/14588a93ab4f797c29618d84e93a13a990bfb1e1

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Citations in the corpus

Quantile Spectral Processes: Asymptotic Analysis and Inference (2014, unknown): “First, it aims at providing a rigorous analysis of the asymptotic properties of a general class of smoothed rank-based copula cross-periodograms generalizing the quantile periodograms introduced by Hagemann [19] and, in an integrated version, by Hong [27].”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “rovided the inference methods based on bootstrap and permutation for the extremogram. See also Davis et al. (2013). Li (2008, 2012) has introduced a Fourier domain version of the quantilogram while 1 Hong (2000) has used a Fourier domain approach for test statistics based on distributions. Further d”
Nonparametric Tests for Serial Independence Based on Quadratic Forms (2005, unknown): “For a test similar to that of GMR, Hong and White (2005) found nontrivial power as the distance between the null distribution and a local alternative reduces at the rate n−1/2h−1/2, with h → 0 as required for consistent kernel estimation of the density. The test statistic for the Q-test is estimated”
A flexible semiparametric forecasting model for time series (2015, background): “Note that the above fit is equal to the full linear regression model fit in the parametric linear case.2 However, in the general 1The idea of considering pairwise relationships has been considered in Hong (2000) for testing the serial independence of an observed scalar series Yt.”
Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis (2011, methodology): “In the field of signal processing the idea to replace the quadratic by other loss functions has been discussed by Katkovnik [1998] who proposed to use Lp-distances and analyzed the properties of these M-periodograms.”
An Updated Literature Review of Distance Correlation and Its Applications to Time Series (2017, unknown): “To avoid this problem, Hong (2000) generalizes both the Cramer-von Mises and Kolmogorov-Smirnov type test statistics by employing the generalized spectral theory.”
A Non-Parametric Independence Test Using Permutation Entropy (2008, background): “On the other hand, there are a number of other nonparemetric tests for independence that avoid smoothed nonparemetric estimation (Skaug and Tjøstheim (1993a); Delgado (1996); Hong (1998); and Hong (2000), among others; see also Tjøstheim (1996) for an excellent complete survey).”
Quantile spectral analysis for locally stationary time series (2014, methodology): “ssumptions such as the existence of nite moments. That thread of literature also includes Li (2012, 2014), Kley et al. (2016), and Lee and Subba Rao (2012). Somewhat dierent approaches were taken by Hong (2000), Davis et al. (2013), and several others; in the time domain, Linton and Whang (2007), Da”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “In Hong (2000) the Fourier transform of empirical copulas at diﬀerent lags is considered for testing the hypothesis of pairwise independence.”
A Nonparametric Test of Serial Independence for Time Series and Residuals (2001, background): “Interesting extensions of this test can be found in Hong (1998) and Hong (2000).”
Test of independence and randomness based on the empirical copula process (2004, background): “Other recent contributions are those of Kulperger and Lockhart (1998), Hong (1998), Hong (2000), Ferguson et al. (2000), and Genest et al. (2002) .”