書誌事項
- 公開日
- 1992-01
- 権利情報
-
- http://onlinelibrary.wiley.com/termsAndConditions#vor
- DOI
-
- 10.1111/j.1467-9892.1992.tb00092.x
- 公開者
- Wiley
この論文をさがす
説明
<jats:p><jats:bold>Abstract. </jats:bold> A nonparametric test statistic based on the distance between the joint and marginal densities is developed to test for the serial dependence for a given sequence of time series data. The key idea lies in observing that, under the null hypothesis of independence, the joint density of the observations is equal to the product of their individual marginals. Histograms are used in constructing such a statistic which is nonparametric and consistent. It possesses high power in capturing subtle or diffuse dependence structure. A bilinear time series model is used to illustrate its performance with the classical correlation approach.</jats:p>
収録刊行物
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- Journal of Time Series Analysis
-
Journal of Time Series Analysis 13 (1), 19-28, 1992-01
Wiley
