Measures of Dependence and Tests of Independence

DOI10.1080/02331889708802564zbMath0876.62040OpenAlexW2168188588MaRDI QIDQ4337772

Dag Tjøstheim

Publication date: 1 December 1997

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802564

zbMATH Keywords

bootstrapHellinger distancetime serieskernel estimationcritical valuemeasures of dependencetests of independenceKullbach-Leibler information

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Quantile spectral processes: asymptotic analysis and inference ⋮ A non-parametric independence test using permutation entropy ⋮ Tests of independence and randomness based on the empirical copula process ⋮ DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ A new test of independence for bivariate observations ⋮ Information dependency: strong consistency of Darbellay-Vajda partition estimators ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Testing serial independence via density-based measures of divergence ⋮ Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes ⋮ Measuring asymmetry and testing symmetry ⋮ Testing spatial randomness based on empirical distribution function: a study on lattice data ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Measuring stochastic dependence using \(\phi\)-divergence ⋮ Checking nonlinear heteroscedastic time series models ⋮ Power Assessment of a New Test of Independence ⋮ On consistent testing for serial correlation in seasonal time series models ⋮ A non-parametric test for independence based on symbolic dynamics ⋮ On a measure of dependence based on fisher's information matrix ⋮ Detection of non-linear structure in time series ⋮ Correlation in \(L^p\)-spaces ⋮ Symbolic correlation integral

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Linear serial rank tests for randomness against ARMA alternatives
• Some robust exact results on sample autocorrelations and tests of randomness
• Time series: theory and methods
• Measures of distance between probability distributions
• Nonconvexities in a stochastic control problem with learning
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• A nonparametric measure of independence under a hypothesis of independent components
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Comparing nonparametric versus parametric regression fits
• Generalized autoregressive conditional heteroscedasticity
• The jackknife and the bootstrap for general stationary observations
• On some global measures of the deviations of density function estimates
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Approximation Theorems of Mathematical Statistics
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On U-statistics and v. mise? statistics for weakly dependent processes
• Generalized portmanteau statistics and tests of randomness
• Higher-Order Residual Analysis for Nonlinear Time Series with Autoregressive Correlation Structures
• The Rank Version of von Neumann's Ratio Test for Randomness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• Testing for randomness against autocorrelation: Alternative tests
• On a measure of lack of fit in time series models
• A nonparametric test of serial independence based on the empirical distribution function
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
• Nonparametric tests of linearity for time series
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Independence in time series: another look at the BDS test
• Consistent Nonparametric Entropy-Based Testing
• A Non-Parametric Test of Independence
• An Exact Test for Randomness in the Non-Parametric Case Based on Serial Correlation
• The bootstrap and Edgeworth expansion