A Serial Independence Test by Kullback-Leibler via Quantile Symbolization: Accepted - May 2024

Emad Ashtarinezhad; Yadollah Waghei; G.R. Mohtashami Borzadaran; Hamid Reza Nili Sani; Hadi Alizadeh Noughabi

Forthcoming

A Serial Independence Test by Kullback-Leibler via Quantile Symbolization

Accepted - May 2024

Authors

Emad Ashtarinezhad University of Birjand https://orcid.org/0009-0009-6779-4742
Yadollah Waghei University of Birjand https://orcid.org/0000-0003-4257-2579
G.R. Mohtashami Borzadaran Ferdowsi University of Mashhad https://orcid.org/0000-0002-8841-1386
Hamid Reza Nili Sani University of Birjand https://orcid.org/0000-0003-2719-2674
Hadi Alizadeh Noughabi University of Birjand https://orcid.org/0000-0002-7515-1896

Keywords:

Independence test, Quantile symbolization, Size-corrected power, Kullback-Leibler divergence, Time series

Abstract

In this article, a new consistent, and powerful test is constructed for serial independence 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.

Downloads

FP_REVSTAT2024_mai3

Published

2024-05-05

How to Cite

Ashtarinezhad, E., Waghei, Y., Mohtashami Borzadaran, G., Nili Sani, H. R., & Alizadeh Noughabi, H. (2024). A Serial Independence Test by Kullback-Leibler via Quantile Symbolization: Accepted - May 2024. REVSTAT-Statistical Journal. Retrieved from https://revstat.ine.pt/index.php/REVSTAT/article/view/677