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An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock–Dechert–Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS test,...

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Principais autores: Xin Huang, Han Lin Shang, Tak Kuen Siu
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-01-01
Serier:Risks
Fag:
BDS test
functional GARCH model
functional autoregressive model
independence test
VIX index
Online adgang:https://www.mdpi.com/2227-9091/13/2/25
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