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:: Volume 13, Issue 1 (9-2019) ::
J. of Stat. Sci. 2019, 13(1): 39-56 Back to browse issues page
Independence Test of Time Series Based on Power-Divergence
Emad Ashtari Nezhad, Yadollah Waghei *, Gholam Reza Mohtashami Borzadaran, Hamid Reza Nili Sani, Hadi Alizadeh Noughabi
Abstract:   (3071 Views)

‎Before analyzing a time series data‎, ‎it is better to verify the dependency of the data‎, ‎because if the data be independent‎, ‎the fitting of the time series model is not efficient‎. ‎In recent years‎, ‎the power divergence statistics used for the goodness of fit test‎. ‎In this paper‎, ‎we introduce an independence test of time series via power divergence which depends on the parameter λ‎. ‎We obtain asymptotic distribution of the test statistic‎. ‎Also using a simulation study‎, ‎we estimate the error type I and test power for some λ and n‎. ‎Our simulation study shows that for extremely large sample sizes‎, ‎the estimated error type I converges to the nominal α‎, ‎for any λ‎. ‎Furthermore‎, ‎the modified chi-square‎, ‎modified likelihood ratio‎, ‎and Freeman-Tukey test have the most power‎.

Keywords: ‎Independence Test‎, ‎Time Series‎, ‎Power-divergence‎, ‎m-dependence Random Variable.
Full-Text [PDF 212 kb]   (630 Downloads)    
Type of Study: Research | Subject: Time Series
Received: 2017/01/1 | Accepted: 2018/09/5 | Published: 2019/02/25
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Ashtari Nezhad E, Waghei Y, Mohtashami Borzadaran G R, Nili Sani H R, Alizadeh Noughabi H. Independence Test of Time Series Based on Power-Divergence. J. of Stat. Sci.. 2019; 13 (1) :39-56
URL: http://jss.irstat.ir/article-1-516-en.html

Volume 13, Issue 1 (9-2019) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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