A Nonparametric Test of Serial Independe
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Kilani Ghoudi; Reg J. Kulperger; Bruno Rémillard
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Article
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2001
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Elsevier Science
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English
⚖ 349 KB
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 r