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Shrinkage Regularization for (Non)Linear Serial Dependence Test

Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi

Abstract

This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach extends the portmanteau test introduced in Jasiak and Neyazi (2023) to the high-dimensional setting.

Shrinkage Regularization for (Non)Linear Serial Dependence Test

Abstract

This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach extends the portmanteau test introduced in Jasiak and Neyazi (2023) to the high-dimensional setting.
Paper Structure (4 sections, 20 equations, 2 figures)

This paper contains 4 sections, 20 equations, 2 figures.

Table of Contents

  1. Introduction
  2. Linear Shrinkage Estimator of Ledoit and Wolf
  3. Shrinkage Regularization of the NLSD Test
  4. Simulation Studies

Figures (2)

  • Figure 1: Empirical Size of NLSD test and SR-NLSD test for many variables N
  • Figure 2: Empirical Size of NLSD test and SR-NLSD test, many transformations K