A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
在频域中提出广义Portmanteau检验统计量，用于检验两个平稳时间序列是否独立，允许序列具有短记忆、长记忆或反持久性，并推导了渐近标准正态分布。
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in the paper by Chen and Deo (2004, Econometric Theory 20, 382–416), who extended the applicability of the portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic standard normal distributions of the proposed statistics are derived under fairly mild conditions. In particular, each time series is allowed to possess short memory, long memory, or antipersistence. A simulation study shows that the tests have reasonable size and power properties.