A Nonparametric Test of Serial Independence for Time Series and Residuals

Kilani Ghoudi, Reg J. Kulperger and Bruno Remillard ()

Journal of Multivariate Analysis, 2001, vol. 79, issue 2, 191-218

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; empirical; processes; pseudo-observations; residuals; weak; convergence; Cramer-von; Mises; statistics (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (20)

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