Testing for Serial Independence via Auto Hilbert-Schmidt Independence Criterion
基于自希尔伯特–施密特独立性准则的序列独立性检验
We develop a Hilbert--Schmidt independence criterion (HSIC)-based framework for testing serial independence in strictly stationary time series. The proposed auto Hilbert--Schmidt independence criterion (AutoHSIC) measures dependence between an observation and its lagged counterpart, providing a kernel-based approach to detecting nonlinear serial dependence. The empirical AutoHSIC statistic is a lagged U-statistic constructed from overlapping observations, and hence inherits…