Shrinkage Regularization for (Non)Linear Serial Dependence Test
Abstract
This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach extends the portmanteau test introduced in Jasiak and Neyazi (2023) to the high-dimensional setting.
Fields of Study & Subjects
Statistical Methods and Inference
Financial Risk and Volatility Modeling
Time Series Analysis and Forecasting
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 10 March 2026
- Language
- EN
- Document type
- Preprint