A Nonparametric Test of Serial Independence for Time Series and Residuals

By Kilani Ghoudi, R. Kulperger, Bruno R'emillard. 2001

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9e3a5d06d4ba33099a07201429272f1492681bb0

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Citations in the corpus

Test of independence and randomness based on the empirical copula process (2004, background): “1 of Ghoudi et al. (2001) states that a distribution H is equal to the product of its marginals if and only if its associated copula C is such that MA(C) ≡ 0 for all A ⊂ Sp, that is, ∑ B⊂A (−1)|A\B|C (uB) ∏ j∈A\B uj = 0,”
Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, unknown): “As remarked in Ghoudi and Rémillard (2010), that process appears as the limit of many other processes used in tests of change-point (Picard, 1985, Carlstein, 1988) and tests of independence (Blum et al., 1961, Ghoudi et al., 2001).”
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010, methodology): “The test of multivariate independence of Deheuvels (1981b) can be extended to test randomness as suggested by Genest and R´emillard (2004) (see also Ghoudi et al. 2001).”
Testing Conditional Independence via Rosenblatt Transforms (2009, background): “To name but a few, see Hoeffding (1948), Blum, Kiefer and Rosenblatt (1961), Skaug and Tjøstheim (1993), Robinson (1991), Delgado and Mora (2000) and Hong and White (2005).”
Nonparametric Tests for Serial Independence Based on Quadratic Forms (2005, unknown): “However, as reported by Skaug and Tjøstheim (1993), Granger, Maasoumi and Racine (2004) and Hong and White (2005) in similar testing contexts, the asymptotic theory provides a rather poor finite sample approximation to the null distribution of the test statistic and inference based on such tests…”
Multivariate nonparametric test of independence (2017, background): “Their paper, which generalises [14], is related to our current project.”
Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence (2005, methodology): “04 85 v1 [ m at h. ST ] 3 A ug 2 00 7 The Annals of Statistics 2007, Vol. 35, No. 1, 166–191 DOI: 10.1214/009053606000000984 c© Institute of Mathematical Statistics, 2007 ASYMPTOTIC LOCAL EFFICIENCY OF CRAMÉR–VON MISES TESTS FOR MULTIVARIATE INDEPENDENCE By Christian Genest1, Jean-François Quessy ”
Empirical Processes Based on Pseudo-observations 11: The Multivariate Case (2004, methodology): “These are similar to those used for univariate pseudo-observations in Ghoudi and Rbmillard (1998). Suppose that X is a complete and separable metric space and let C be a subset of the continuous functions f from X to IRd containing the function f 0.”