Testing That a Dependent Process Is Uncorrelated

By Ignacio N. Lobato. 2001

181 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/76cc51c197406c064eb09663c0076338651bbde7

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Citations in the corpus

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “We also provide R code that carries out the computations efficiently.1 We also define a self-normalized version of the statistic for testing the null hypothesis that the quantilogram is zero, following Lobato (2001).”
Testing the structural stability of temporally dependent functional observations and application to climate projections (2011, methodology): “The idea of using inconsistent normalization is not new, as it has been previously applied by Lobato [16] and Shao [22] to the inference in univariate time series.”
A simple test of changes in mean in the possible presence of long‐range dependence (2011, methodology): “The self-normalization idea has been used by Lobato (2001) and Shao (2009, 2010) for inference problems related to weakly dependent time series.”
Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness (2006, unknown): “: +9319 335 0855; fax: +1 319 335 1956. dresses: joel-horowitz@northwestern.edu (J.L. Horowitz), ilobato@itam.mx (I.N. Lobato), essex.ac.uk (J.C. Nankervis), gene-savin@uiowa.edu (N.E. Savin).”
A self‐normalized approach to confidence interval construction in time series (2010, background): “1/}, we plug in the estimates for the unknown quantities in equation (1) of Lobato et al. (2002), and the resulting estimate is γ̂n.”
A bootstrap-assisted spectral test of white noise under unknown dependence (2011, methodology): “Also see Lobato (2001), Lobato et al. (2002) and Horowitz et al. (2006) for more recent contributions along this line.”
Multi-scale tests for serial correlation (2015, background): “There is a long streak of papers that address these limitations, starting from the small sample improvements of Ljung and Box (1978), to the more recent robustification program of Lobato (2001) and Lobato et al. (2002).”
Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018, unknown): “Alternatively, we can apply the self-normalized approach proposed in Lobato (2001) to test the absence of AC CE PT ED M AN US CR IP T”
A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004, background): “7 Lobato (2001) ). Before introducing our test statistic, let consider the following estimator of F(k) which”
Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005, methodology): “For the same problem, Lobato (2001) proposed an alternative test statistic that is asymptotically distribution-free under the null.”
Testing for Change Points in Time Series (2010, methodology): “The basic idea is to extend the selfnormalization (SN) method (Lobato 2001; Shao 2010) to the change-point testing problem.”
A Course in Time Series Analysis (2001, methodology): “How to selection h is discussed in several papers, see for example Escanciano and Lobato (2009).”