This article reviews some nonparametric serial independence tests based on measures of divergence between densities. Among others, the well-known Kullback-Leibler, Hellinger, Tsallis, and Rosenblatt divergences are analyzed. Moreover, their copula-based version is taken into account. Via a wide simulation study, the performances of the considered serial independence tests are compared under different settings. Both single-lag and multiple-lag testing procedures are investigated to find out the best "omnibus" solution.
Bagnato, L., De Capitani, L., Punzo, A., Testing serial independence via density-based measures of divergence, <<METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY>>, 2014; 16 (2): 627-641. [doi:10.1007/s11009-013-9320-4] [http://hdl.handle.net/10807/41569]
Testing serial independence via density-based measures of divergence
Bagnato, Luca;
2014
Abstract
This article reviews some nonparametric serial independence tests based on measures of divergence between densities. Among others, the well-known Kullback-Leibler, Hellinger, Tsallis, and Rosenblatt divergences are analyzed. Moreover, their copula-based version is taken into account. Via a wide simulation study, the performances of the considered serial independence tests are compared under different settings. Both single-lag and multiple-lag testing procedures are investigated to find out the best "omnibus" solution.
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