Least Squares-Based Permutation Tests in Time Series
Abstract/Contents
- Abstract
- This paper studies permutation tests for regression parameters in a time series setting, where the time series is assumed stationary but may exhibit an arbitrary (but weak) dependence structure. In such a setting it is perhaps surprising that permutation tests can offer any type of inference guarantees, since permuting of covariates can destroy its relationship with the response. Indeed, the fundamental assumption of exchangeability of errors required for the finite-sample exactness of permutation tests can easily fail. However, we show that permutation tests may be constructed which are asymptotically valid for a wide class of stationary processes but remain exact when exchangeability holds. We also consider the problem of testing for no monotone trend, and we construct asymptotically valid permutation tests in this setting as well.
Description
Type of resource | text |
---|---|
Publication date | April 4, 2024 |
Creators/Contributors
Author | Romano, J.P. |
---|---|
Author | Tirlea, M.A. |
Subjects
Subject | hypothesis testing |
---|---|
Subject | regression |
Subject | trend |
Genre | Text |
Genre | Technical report |
Bibliographic information
Access conditions
- Use and reproduction
- User agrees that, where applicable, content will not be used to identify or to otherwise infringe the privacy or confidentiality rights of individuals. Content distributed via the Stanford Digital Repository may be subject to additional license and use restrictions applied by the depositor.
- License
- This work is licensed under a Creative Commons Attribution Non Commercial No Derivatives 4.0 International license (CC BY-NC-ND).
Preferred citation
- Preferred citation
- Romano, J. and Tirlea, M. (2024). Least Squares-Based Permutation Tests in Time Series. Department of Statistics Technical Report, Stanford University. Available from the Stanford Digital Repository at https://purl.stanford.edu/rs020wr8547. https://doi.org/10.25740/rs020wr8547.
Collection
Statistics Department Technical Reports
Contact information
Loading usage metrics...