On testing for separable correlations of multivariate time series

DOI10.1111/J.1467-9892.2004.01795.XMaRDI QIDQ4677027zbMATH OpenOpenAlexFDO

Authors Yasumasa Matsuda, Yoshihiro Yajima

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01795.x

zbMATH Keywords

asymptotic distributionnonparametric inferenceperiodogram

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 783366 (Why is no real title available?)
• A limit theory for long-range dependence and statistical inference on related models
• Nonparametric approach for non-Gaussian vector stationary processes
• Statistics for spatial data

Cited in

(19)

• Testing separability of functional time series
• Tests for special causes with multivariate autocorrelated data
• Quantifying deviations from separability in space-time functional processes
• Statistical analysis of a spatio-temporal model with location-dependent parameters and a test for spatial stationarity
• Testing covariance separability for continuous functional data
• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• A tuning parameter free test for properties of space-time covariance functions
• Testing for separability of spatial\,-\,temporal covariance functions
• Testing the constancy of Spearman's rho in multivariate time series
• scientific article; zbMATH DE number 967292 (Why is no real title available?)
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• A new correlation coefficient for bivariate time-series data
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Optimal Tests of Noncorrelation Between Multivariate Time Series
• On nonparametric and semiparametric testing for multivariate linear time series
• Inference and testing breaks in large dynamic panels with strong cross sectional dependence
• Testing serial correlations in high-dimensional time series via extreme value theory

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