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.
Original language | English |
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Article number | 91967 |
Pages (from-to) | 191-218 |
Number of pages | 28 |
Journal | Journal of Multivariate Analysis |
Volume | 79 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2001 |
Externally published | Yes |
Keywords
- Cramér-von Mises tatistics
- Empirical processes
- Independence
- Pseudo-observations
- Residuals
- Serial independence
- Weak convergence
ASJC Scopus subject areas
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty