Testing serial correlations in high-dimensional time series via extreme value theory

This paper proposes a simple test for detecting serial correlations in high-dimensional time series. The proposed test makes use of the robust properties of Spearman’s rank correlation and the theory of extreme values. Asymptotic properties of the test statistics are derived under some minor conditi...

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Veröffentlicht in:	Journal of econometrics 2020-05, Vol.216 (1), p.106-117
1. Verfasser:	Tsay, Ruey S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Autocorrelation Bias Cross-correlation Extreme value theory Finite element analysis Mechanical properties Portmanteau test Simulation Spearman’s rho Statistics Time series Values White noise
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