An independence test based on recurrence rates

JOURNAL OF MULTIVARIATE ANALYSIS

卷:178

Article

Kalemkerian, Juan¹  Fernandez, Diego² 

[1] Univ Republica, Fac Ciencias, Ctr Matemat, Montevideo, Uruguay

[2] Univ Republica, Fac Ciencias Econ & Adm, Montevideo, Uruguay

关键词: Independence tests;    Recurrence rates;    U-process;   

DOI  :  10.1016/j.jmva.2020.104624

来源: Elsevier

【 摘 要 】

A new test of independence between random elements is presented in this article. The test is based on a functional of the Cramer-von Mises type, which is applied to a U-process that is defined from the recurrence rates. Theorems of asymptotic distribution under H-0, and consistency under a wide class of alternatives are obtained. The results under contiguous alternatives are also shown. The test has very good behavior under several alternatives, when compared to other tests that are widely used in literature. In addition, the new test could be used for discrete or continuous time series. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free