A Max-Correlation White Noise Test for Weakly Dependent Time Series
A Max-Correlation White Noise Test for Weakly Dependent Time Series
This paper presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized weighted maximum sample correlation coefficient, where the maximum lag increases …