Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi
arXiv 10 Mar 2026 · Econometrics
arXiv:2603.10152 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ledoit, Olivier and Wolf, Michael (2004) A well-conditioned estimator for large-dimensional covariance matrices | 1.000 | 11 | 3 | 100% |
| 2 | Giancaterini, Francesco and Hecq, Alain and Jasiak, Joann and Neyazi… (2025) Regularized generalized covariance (rgcov) estimator self | 0.811 | 4 | 2 | 100% |
| 3 | Jasiak, Joann and Neyazi, Aryan M (2023) GCov-Based Portmanteau Test self | 0.737 | 3 | 2 | 100% |
| 4 | Gourieroux, Christian and Jasiak, Joann (2023) Generalized covariance estimator self | 0.511 | 2 | 1 | 100% |
| 5 | Chan, Kung-Sik and Ho, Lop-Hing and Tong, Howell (2006) A note on time-reversibility of multivariate linear processes | 0.405 | 1 | 1 | 100% |
| 6 | Chitturi, Ratnam V (1976) Distribution of multivariate white noise autocorrelations | 0.405 | 1 | 1 | 100% |
| 7 | Escanciano, J Carlos and Lobato, Ignacio N (2009) An automatic portmanteau test for serial correlation | 0.405 | 1 | 1 | 100% |
| 8 | Gourieroux, Christian and Jasiak, Joann (2017) Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation self | 0.405 | 1 | 1 | 100% |
| 9 | Pourahmadi, Mohsen (2013) High-dimensional covariance estimation: with high-dimensional data | 0.405 | 1 | 1 | 100% |
Showing the top 9 of 9 scored citations.