Testing serial independence via density-based measures of divergence

Luca Bagnato, Lucio De Capitani, Antonio Punzo

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)627-641
Number of pages15
JournalMethodology and Computing in Applied Probability
Volume16
DOIs
Publication statusPublished - 2014

Keywords

  • Divergence measures
  • Serial independence

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