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5. A Wavelet-based Test for Serial Correlation

A Wavelet-based Test for Serial Correlation

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：lmwtzw0n9c9

【摘 要】

：

A new test for serial correlation is proposed based on the quantity called wavelet variance.With the advantage of not needing to test a series of lags,the proposed test uses the wavelet variance vecto

【作 者】

：

Haotian Xu Roberto Molinari Stéphane Guerrier 

【机 构】

：

University of Geneva,1211,Switzerland University

【出 处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Portmanteau tests Independence White Noise Wavelet Variance GMWM 

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论文部分内容阅读

　　A new test for serial correlation is proposed based on the quantity called wavelet variance.With the advantage of not needing to test a series of lags,the proposed test uses the wavelet variance vector as a test statistic to be compared to the vector under the null hypothesis of white noise.

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