Title : ( A Serial Independence Test by Kullback-Leibler via Quantile Symbolization )
Authors: Emad ashtari Nejad , Yadollah Waghei , Gholam Reza Mohtashami Borzadaran , Hamid Reza Nilli sani , Hadi Alizadeh Noughabi ,
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Abstract
In this article, a new consistent, and powerful test is constructed for serial indepen- dence by using quantile symbolization. The test statistic is formulated based on the Kullback-Leibler divergence, and its asymptotic distribution under the null hypothesis is proven. Moreover, the consistency of the proposed test is discussed. A simulation study compares the proposed tests efficiency (size-corrected power) with alternative tests (such as the BDS test). Ultimately, an application to the real-world data example is presented.
Keywords
, Independence test, Quantile symbolization, Size-corrected power, Kullback-Leibler di- vergence, Time series.
@article{paperid:1100948,
author = {عماد اشتری نژاد and یدالله واقعی and Mohtashami Borzadaran, Gholam Reza and حمیدرضا نیلی ثانی and هادی غلیزاده نوقابی},
title = {A Serial Independence Test by Kullback-Leibler via Quantile Symbolization},
journal = {Revstat Statistical Journal},
year = {2024},
volume = {23},
number = {1},
month = {April},
issn = {1645-6726},
pages = {1--21},
numpages = {20},
keywords = {Independence test; Quantile symbolization; Size-corrected power; Kullback-Leibler di-
vergence; Time series.},
}
%0 Journal Article
%T A Serial Independence Test by Kullback-Leibler via Quantile Symbolization
%A عماد اشتری نژاد
%A یدالله واقعی
%A Mohtashami Borzadaran, Gholam Reza
%A حمیدرضا نیلی ثانی
%A هادی غلیزاده نوقابی
%J Revstat Statistical Journal
%@ 1645-6726
%D 2024
