Tests of Randomness

par Kilani Ghoudi (Dept Statistics, United Arab Emirates University, Al Ain)

jeudi 28 juin 2018, 10:00 → 12:00 Europe/Paris

Fokko du Cloux (Braconnier)

Tests of randomness are generally used to verifies if a sequence is truly random. Traditionally, the main use of these tests is in checking the quality of random number generators. The first part of talk starts by introducing the most common randomness tests. It will also illustrate their use in the context of random number generators. The second part targets the application of randomness tests in the context of innovation of time series/regression models. We start by reviewing recent developments and limitations. We then then concentrate on a class of randomness tests targeting serial independence and discuss their applications in different contexts of time series models.