Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
نویسندگان
چکیده
منابع مشابه
Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
This article proposes new tests of randomness for innovations in a large class of time series models. These tests are based on functionals of empirical processes constructed from either the model residuals or their associated ranks. The asymptotic behavior of these processes is determined under the null hypothesis of randomness. The limiting distributions are seen to be independent of estimatio...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2007
ISSN: 0162-1459,1537-274X
DOI: 10.1198/016214507000001076