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arXiv · 2603.10152

Shrinkage Regularization for (Non)Linear Serial Dependence Test

Francesco Giancaterini·Alain Hecq·Joann Jasiak·Aryan Manafi Neyazi
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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.

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Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi. 2026-03-10. Shrinkage Regularization for (Non)Linear Serial Dependence Test. https://arxiv.org/abs/2603.10152

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