Test for Serial Correlation
Generate random sample of an ARProcess.
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The estimated correlation function slowly decreases as a function of lag.
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Test for serial correlation up to lag 10.
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The tests confirm that data is serially correlated.
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Now generate a random sample from a GARCHProcess.
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The values of the estimated correlation function at nonzero lags are very small.
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Check the first path with the AutocorrelationTest.
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There is no serial correlation, but the slices are not independent.
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Check the independence between the slice at time zero and the four following slices using Hoeffding's independence test.
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Show scattered plots of slice values at time zero and at other times and the conclusions of the test.
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