Shrinkage Regularization for (Non)Linear Serial Dependence Test
作者
Authors
Francesco Giancaterini|Alain Hecq|Joann Jasiak|Aryan Manafi Neyazi
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2026
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法国France
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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.
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