基于HSIC的两定子独立性新检验 多元时间序列

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摘要翻译：
本文对两个多元平稳时间序列之间的独立性提出了一些新的单侧综合检验。这些新的检验应用Hilbert-Schmidt独立性准则(HSIC)来检验两个时间序列的新息之间的独立性。在规则条件下，我们建立了基于HSIC的测试的极限零分布。接下来，我们基于HSIC的测试表明是一致的。此外，本文还使用残差引导法来获得基于HSIC的测试的临界值，并证明了该方法的有效性。与现有的基于互相关的线性相关性检验相比，我们的检验检验了一般的（包括线性和非线性）相关性，从而给研究者提供了关于两个多元时间序列之间因果关系的更完整的信息。仿真结果和一个实例说明了我们的测试的优点。
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英文标题：
《New HSIC-based tests for independence between two stationary
  multivariate time series》
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作者：
Guochang Wang, Wai Keung Li, Ke Zhu
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最新提交年份：
2018
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
--

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英文摘要：
  This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the innovations of both time series. Under regular conditions, the limiting null distributions of our HSIC-based tests are established. Next, our HSIC-based tests are shown to be consistent. Moreover, a residual bootstrap method is used to obtain the critical values for our HSIC-based tests, and its validity is justified. Compared with the existing cross-correlation-based tests for linear dependence, our tests examine the general (including both linear and non-linear) dependence to give investigators more complete information on the causal relationship between two multivariate time series. The merits of our tests are illustrated by some simulation results and a real example.
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PDF链接：
https://arxiv.org/pdf/1804.09866

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关键词：多元时间序列 时间序列 SIC HSI 独立性 series 基于 结果 条件 stationary