Testing Serial Independence of Object-Valued Time Series

Feiyu Jiang, Hanjia Gao, Xiaofeng Shao

Research output: Contribution to journalArticlepeer-review

Abstract

We propose a novel method for testing serial independence of object-valued time series in metric spaces, which is more general than Euclidean or Hilbert spaces. The proposed method is fully nonparametric, free of tuning parameters and can capture all nonlinear pairwise dependence. The key concept used in this paper is the distance covariance in metric spaces, which is extended to auto-distance covariance for object-valued time series. Furthermore, we propose a generalized spectral density function to account for pairwise dependence at all lags and construct a Cramér von-Mises type test statistic. New theoretical arguments are developed to establish the asymptotic behaviour of the test statistic. A wild bootstrap is also introduced to obtain the critical values of the nonpivotal limiting null distribution. Extensive numerical simulations and two real data applications on cumulative intraday returns and human mortality data are conducted to illustrate the effectiveness and versatility of our proposed test.
Original languageEnglish (US)
JournalBiometrika
DOIs
StateE-pub ahead of print - Nov 11 2023

Fingerprint

Dive into the research topics of 'Testing Serial Independence of Object-Valued Time Series'. Together they form a unique fingerprint.

Cite this