Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process

DOI10.1007/s10463-009-0257-xzbMath1432.62283OpenAlexW2171985913MaRDI QIDQ907105

Ivan Kojadinovic, Jun Yan

Publication date: 1 February 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-009-0257-x

zbMATH Keywords

bootstrappermutationempirical processCramér-von Mises statisticMöbius decompositionserial copulatest of serial independence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• copula
• copula
• IndependenceTests

Cites Work

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