Tests for serial correlation in mean and variance of a sequence of time series objects

• Published in: Journal of statistical computation and simulation Vol. 87; no. 3; pp. 478 - 492
• Main Authors: Lee, Taewook, Park, Cheolwoo
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 11.02.2017; Taylor & Francis Ltd
• Subjects: Autocorrelation; Computer simulation; Correlation; Correlation analysis; Economic models; Kolmogorov-Smirnov test; Ljung-Box test; Raw materials; Regression analysis; Sequences; Serials; Statistical methods; Time series; time series objects; Variance; wild bootstrap
• ISSN: 0094-9655; 1563-5163
• DOI: 10.1080/00949655.2016.1217336

In this era of Big Data, large-scale data storage provides the motivation for statisticians to analyse new types of data. The proposed work concerns testing serial correlation in a sequence of sets of time series, here referred to as time series objects. An example is serial correlation of monthly stock returns when daily stock returns are observed. One could consider a representative or summarized value of each object to measure the serial correlation, but this approach would ignore information about the variation in the observed data. We develop Kolmogorov-Smirnov-type tests with the standard bootstrap and wild bootstrap Ljung-Box test statistics for serial correlation in mean and variance of time series objects, which take the variation within a time series object into account. We study the asymptotic property of the proposed tests and present their finite sample performance using simulated and real examples.