TY - JOUR JF - JSS JO - JSS VL - 13 IS - 1 PY - 2019 Y1 - 2019/9/01 TI - Independence Test of Time Series Based on Power-Divergence TT - آزمون استقلال سری زمانی مبتنی بر معیار واگرایی توان N2 - ‎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. SP - 39 EP - 56 AU - Ashtari Nezhad, Emad AU - Waghei, Yadollah AU - Mohtashami Borzadaran, Gholam Reza AU - Nili Sani, Hamid Reza AU - Alizadeh Noughabi, Hadi AD - Department of Statistics‎, ‎University of Birjand‎, ‎Birjand‎, ‎Iran. KW - ‎Independence Test‎ KW - ‎Time Series‎ KW - ‎Power-divergence‎ KW - ‎m-dependence Random Variable. UR - http://jss.irstat.ir/article-1-516-en.html DO - 10.29252/jss.13.1.39 ER -