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.
2014
Inglese
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/41569
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