Shrinkage Regularization for (Non)Linear Serial Dependence Test
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
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| _version_ | 1866915851692670976 |
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| author | Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi |
| author_facet | Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_10152 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Shrinkage Regularization for (Non)Linear Serial Dependence Test Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi Econometrics 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. |
| title | Shrinkage Regularization for (Non)Linear Serial Dependence Test |
| topic | Econometrics |
| url | https://arxiv.org/abs/2603.10152 |