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.
|Titolo:||Testing Serial Independence via Density-Based Measures of Divergence|
|Data di pubblicazione:||2014|
|Citazione:||Testing Serial Independence via Density-Based Measures of Divergence / Bagnato L; De Capitani L; Punzo A. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - 16:3(2014), pp. 627-641.|
|Appare nelle tipologie:||1.1 Articolo in rivista|