IID Time Series Testing

03/19/2022
by   Andrey Sarantsev, et al.
0

Traditional white noise testing, for example the Ljung-Box test, studies only the autocorrelation function (ACF). Time series can be heteroscedastic and therefore not i.i.d. but still white noise (that is, with zero ACF). An example of heteroscedasticity is financial time series: times of high variance (financial crises) can alternate with times of low variance (calm times). Here, absolute values of time series terms are not white noise. We could test for white noise separately for original and absolute values, for example using Ljung-Box tests for both. In this article, we create an omnibus test which combines these two tests. Moreover, we create a general framework to create various i.i.d. tests. We apply tests to simulated data, both autoregressive linear and heteroscedastic.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
04/18/2022

Rank Based Tests for High Dimensional White Noise

The development of high-dimensional white noise test is important in bot...
research
05/04/2021

TimeGym: Debugging for Time Series Modeling in Python

We introduce the TimeGym Forecasting Debugging Toolkit, a Python library...
research
08/10/2018

On testing for high-dimensional white noise

Testing for white noise is a classical yet important problem in statisti...
research
09/01/2021

A signed power transformation with application to white noise testing

We show that signed power transforms of some ARCH-type processes give AR...
research
03/26/2018

A general white noise test based on kernel lag-window estimates of the spectral density operator

We propose a general white noise test for functional time series based o...
research
03/24/2022

A combinatorial view of stochastic processes: White noise

White noise is a fundamental and fairly well understood stochastic proce...
research
08/22/2023

Identification and validation of periodic autoregressive model with additive noise: finite-variance case

In this paper, we address the problem of modeling data with periodic aut...

Please sign up or login with your details

Forgot password? Click here to reset