Testing the martingale difference hypothesis in high dimension (Q6108287)

scientific article; zbMATH DE number 7704481

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English	Testing the martingale difference hypothesis in high dimension	scientific article; zbMATH DE number 7704481

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instance of

scholarly article

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title

Testing the martingale difference hypothesis in high dimension (English)

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Journal of Econometrics

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publication date

29 June 2023

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full work available at URL

https://arxiv.org/abs/2209.04770

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zbMATH Keywords

\(\alpha\)-mixing

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Gaussian approximation

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high-dimensional statistical inference

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martingale difference hypothesis

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parametric bootstrap

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MaRDI profile type

MaRDI publication profile

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cites work

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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Two-Sample Test of High Dimensional Means Under Dependence

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High dimensional generalized empirical likelihood for moment restrictions with dependent data

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High-dimensional empirical likelihood inference

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Principal component analysis for second-order stationary vector time series

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Confidence regions for entries of a large precision matrix

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A new scope of penalized empirical likelihood with high-dimensional estimating equations

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Testing for high-dimensional white noise using maximum cross-correlations

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Simulation‐based hypothesis testing of high dimensional means under covariance heterogeneity

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Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering

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Gaussian and bootstrap approximations for high-dimensional U-statistics and their applications

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THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS

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Randomized incomplete \(U\)-statistics in high dimensions

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Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

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Central limit theorems and bootstrap in high dimensions

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Inference on Causal and Structural Parameters using Many Moment Inequalities

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Improved central limit theorem and bootstrap approximations in high dimensions

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The Bierens test under data dependence

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Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors

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Spectral tests of the martingale hypothesis under conditional heteroscedasticity

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Testing the Martingale Difference Hypothesis

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Spectral based testing of the martingale hypothesis

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Generalized spectral tests for the martingale difference hypothesis

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Are discoveries spurious? Distributions of maximum spurious correlations and their applications

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High-dimensional central limit theorems by Stein's method

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On asymptotic theory for multivariate GARCH models

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The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

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Consistent Testing for Serial Correlation of Unknown Form

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Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach

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Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form

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Nonparametric model checks for time series

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High-dimensional CLT: improvements, non-uniform extensions and large deviations

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On a measure of lack of fit in time series models

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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A Test of the Martingale Hypothesis

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A bootstrap-assisted spectral test of white noise under unknown dependence

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TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS

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Nonparametric model checks for regression

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Lasso guarantees for \(\beta \)-mixing heavy-tailed time series

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Nonlinear system theory: Another look at dependence

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Finite Sample Change Point Inference and Identification for High-Dimensional Mean Vectors

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Gaussian approximation for high dimensional vector under physical dependence

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Identifiers

arXiv ID

2209.04770

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DOI

10.1016/j.jeconom.2022.09.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6108287