A Serial Independence Test by Kullback-Leibler via Quantile Symbolization

Authors

DOI:

https://doi.org/10.57805/revstat.v24i3.677

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.

Published

2026-09-30

How to Cite

Ashtarinezhad, E., Waghei, Y., Mohtashami Borzadaran, G., Nili Sani, H. R., & Alizadeh Noughabi, H. (2026). A Serial Independence Test by Kullback-Leibler via Quantile Symbolization. REVSTAT-Statistical Journal, 24(3), 269-292. https://doi.org/10.57805/revstat.v24i3.677