On testing for independence between the innovations of several time series
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Publication:2856550
copulatime seriescross-correlationindependencerank-based test statisticKolmogorov-Smirnov test statisticmultivariate lagCramér-von Mises test statistic
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
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- On testing for separable correlations of multivariate time series
- Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
- Forecasting time series with multivariate copulas
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
- Tests of mutual or serial independence of random vectors with applications
- Serial independence tests for innovations of conditional mean and variance models
- Validation tests for the innovation distribution in INAR time series models
- A distance-based test of independence between two multivariate time series
- Fourier-type tests of mutual independence between functional time series
- Using permutations to detect dependence between time series
- On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
- Most stringent test of independence for time series
- Testing for independence between functional time series
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Testing for independence in heavy-tailed time series using the codifference function
- A model-free test for independence between time series
- scientific article; zbMATH DE number 775842 (Why is no real title available?)
- scientific article; zbMATH DE number 967292 (Why is no real title available?)
- New HSIC-based tests for independence between two stationary multivariate time series
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