An independence test based on recurrence rates

Juan Kalemkerian and Diego Fernández

Journal of Multivariate Analysis, 2020, vol. 178, issue C

Abstract: A new test of independence between random elements is presented in this article. The test is based on a functional of the Cramér–von Mises type, which is applied to a U-process that is defined from the recurrence rates. Theorems of asymptotic distribution under H0, and consistency under a wide class of alternatives are obtained. The results under contiguous alternatives are also shown. The test has very good behavior under several alternatives, when compared to other tests that are widely used in literature. In addition, the new test could be used for discrete or continuous time series.

Keywords: Independence tests; Recurrence rates; U-process (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.jmva.2020.104624

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