On testing for independence between the innovations of several time series
Publication:2856550
DOI10.1002/cjs.11141zbMath1333.62208OpenAlexW2064263801MaRDI QIDQ2856550
Pierre Duchesne, Bruno Rémillard, Kilani Ghoudi
Publication date: 29 October 2013
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11141
copulaindependencetime seriescross-correlationrank-based test statisticCramér-von Mises test statisticKolmogorov-Smirnov test statisticmultivariate lag
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Goodness-of-fit tests for copulas: A review and a power study
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- The oscillation behavior of empirical processes: The multivariate case
- A test for independence of two stationary infinite order autoregressive processes
- An introduction to copulas.
- Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
- Nonparametric change-point estimation
- An asymptotic decomposition for multivariate distribution-free tests of independence
- Stationarity of GARCH processes and of some nonnegative time series
- Time series: theory and methods.
- Strict stationarity of generalized autoregressive processes
- On the empirical process of multivariate, dependent random variables
- Asymptotic distributions of multivariate rank order statistics
- On conditional least squares estimation for stochastic processes
- Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
- Asymptotic theory of statistical inference for time series
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On residual empirical processes of stochastic regression models with applications to time series
- Tests of independence and randomness based on the empirical copula process
- ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
- A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
- Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
- Testing for independence between two covariance stationary time series
- Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
- A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Testing for Pairwise Serial Independence Via the Empirical Distribution Function
- A nonparametric test of serial independence based on the empirical distribution function
- Introduction to Time Series and Forecasting
- Robust residual cross correlation tests for lagged relations in time series
- Empirical processes indexed by estimated functions
- Stochastic Comparison of Tests
- Asymptotic Optimality of Fisher's Method of Combining Independent Tests II
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- A nonparametric test of serial independence for time series and residuals
This page was built for publication: On testing for independence between the innovations of several time series
