On testing for independence between the innovations of several time series

DOI10.1002/CJS.11141zbMATH Open1333.62208OpenAlexW2064263801MaRDI QIDQ2856550FDOQ2856550

Authors: P. Duchesne, Bruno Rémillard, Kilani Ghoudi 

Publication date: 29 October 2013

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11141

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zbMATH Keywords

copulatime seriescross-correlationindependencerank-based test statisticKolmogorov-Smirnov test statisticmultivariate lagCramér-von Mises test statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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Cited In (20)

• IndGenErrors
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• Mixed causal-noncausal AR processes and the modelling of explosive bubbles
• Validation tests for the innovation distribution in INAR time series models
• Serial independence tests for innovations of conditional mean and variance models
• Testing for independence in heavy-tailed time series using the codifference function
• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
• Tests of mutual or serial independence of random vectors with applications
• Testing for independence between functional time series
• Forecasting time series with multivariate copulas
• On testing for separable correlations of multivariate time series
• Title not available (Why is that?)
• Using permutations to detect dependence between time series
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• Fourier-type tests of mutual independence between functional time series
• On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
• A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
• Most stringent test of independence for time series
• A distance-based test of independence between two multivariate time series
• A model-free test for independence between time series

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