Paper
Shrinkage Regularization for (Non)Linear Serial Dependence Test
Authors
Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi
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.
Metadata
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Raw Data (Debug)
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"raw_xml": "<entry>\n <id>http://arxiv.org/abs/2603.10152v1</id>\n <title>Shrinkage Regularization for (Non)Linear Serial Dependence Test</title>\n <updated>2026-03-10T18:42:11Z</updated>\n <link href='https://arxiv.org/abs/2603.10152v1' rel='alternate' type='text/html'/>\n <link href='https://arxiv.org/pdf/2603.10152v1' rel='related' title='pdf' type='application/pdf'/>\n <summary>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.</summary>\n <category scheme='http://arxiv.org/schemas/atom' term='econ.EM'/>\n <published>2026-03-10T18:42:11Z</published>\n <arxiv:comment>10 pages</arxiv:comment>\n <arxiv:primary_category term='econ.EM'/>\n <author>\n <name>Francesco Giancaterini</name>\n </author>\n <author>\n <name>Alain Hecq</name>\n </author>\n <author>\n <name>Joann Jasiak</name>\n </author>\n <author>\n <name>Aryan Manafi Neyazi</name>\n </author>\n </entry>"
}