Tests of serial dependence for multivariate time series with arbitrary distributions

DOI10.1016/J.JMVA.2022.105102MaRDI QIDQ2079632zbMATH OpenOpenAlexFDO

Authors Bouchra R. Nasri

Publication date 30 September 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2022.105102

zbMATH Keywords

arbitrary distributionscontiguitymultilinear copulaserial dependence

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• Asymptotic Optimality of Fisher's Method of Combining Independent Tests II
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• Copula modeling for discrete random vectors
• Copula-based semiparametric models for multivariate time series
• Detecting changes in cross-sectional dependence in multivariate time series
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Fourier analysis of serial dependence measures
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Cited in

(10)

• High dimensional cross-sectional dependence test under arbitrary serial correlation
• Testing the constancy of Spearman's rho in multivariate time series
• On testing for separable correlations of multivariate time series
• Testing dependence among serially correlated multicategory variables
• scientific article; zbMATH DE number 967292 (Why is no real title available?)
• A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
• Tests of independence and randomness for arbitrary data using copula-based covariances
• Copula modeling from Abe Sklar to the present day
• Testing ARCH effect of high-dimensional time series data
• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process

Describes a project that uses

Uses Software

• R
• IndependenceTests
• MixedIndTests

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