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. (2014). Testing Serial Independence via Density-Based Measures of Divergence. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 16(3), 627-641 [10.1007/s11009-013-9320-4].
Testing Serial Independence via Density-Based Measures of Divergence
BAGNATO, LUCAPrimo
;DE CAPITANI, LUCIOSecondo
;PUNZO, ANTONIO
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.
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