Testing for cross-quantilogram change
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2026
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866914412957270016 |
|---|---|
| author | Chang, Chia-Min Cheng, Yu-Hsiang Huang, Tzee-Ming |
| author_facet | Chang, Chia-Min Cheng, Yu-Hsiang Huang, Tzee-Ming |
| contents | For two time series $\{ (Y_t, Z_t^Y) \}_{t}$ and $\{(X_t, Z_t^X)\}_{t}$, the directional dependence of $\{ X_t \}_{t}$ on $\{ Y_t \}_{t}$ while removing the impact of $Z_t^X$ on $X_t$ and the impact of $Z_t^Y$ on $ Y_t$ can be measured by cross-quantilograms. When the two time series are obeserved over two periods of time, it can be of interest to learn whether the cross-quantilograms remain the same for the two periods of time. We propose a test for this purpose, and the cross-quantilograms are estimated using the estimators proposed by Han (2016). The $p$-value of the proposed test is obtained based on a bootstrap approach. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_20716 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Testing for cross-quantilogram change Chang, Chia-Min Cheng, Yu-Hsiang Huang, Tzee-Ming Methodology 62H15 For two time series $\{ (Y_t, Z_t^Y) \}_{t}$ and $\{(X_t, Z_t^X)\}_{t}$, the directional dependence of $\{ X_t \}_{t}$ on $\{ Y_t \}_{t}$ while removing the impact of $Z_t^X$ on $X_t$ and the impact of $Z_t^Y$ on $ Y_t$ can be measured by cross-quantilograms. When the two time series are obeserved over two periods of time, it can be of interest to learn whether the cross-quantilograms remain the same for the two periods of time. We propose a test for this purpose, and the cross-quantilograms are estimated using the estimators proposed by Han (2016). The $p$-value of the proposed test is obtained based on a bootstrap approach. |
| title | Testing for cross-quantilogram change |
| topic | Methodology 62H15 |
| url | https://arxiv.org/abs/2603.20716 |