Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test

DOI10.1198/016214507000001076zbMath1332.62298OpenAlexW2020483759MaRDI QIDQ3632600

Bruno Rémillard, Christian Genest, Kilani Ghoudi

Publication date: 12 June 2009

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214507000001076

zbMATH Keywords

copulatime seriesrankempirical processrandomnesspseudo-observationBrock, Dechert, and Scheinkman statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Estimation and inference in factor copula models with exogenous covariates ⋮ Empirical processes for infinite variance autoregressive models ⋮ Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Copula-based semiparametric models for multivariate time series ⋮ A modified BDS test ⋮ Non parametric portmanteau tests for detecting non linearities in high dimensions ⋮ Discussion of: Brownian distance covariance ⋮ Statistical dependence: beyond Pearson's \(\rho\) ⋮ On testing for independence between the innovations of several time series ⋮ Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals

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