Testing for the Markov property in time series
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Publication:3224040
Markov processes (60J99) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Statistical methods; risk measures (91G70)
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Cited in
(13)- Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation
- Modelling and analysis of healthcare inventory management systems
- Functional Ross recovery: theoretical results and empirical tests
- Testing conditional independence via empirical likelihood
- High frequency trading and stock index returns: a nonlinear dynamic analysis
- Testing the Markov property with high frequency data
- Characteristic function of the order statistics of the Student's \(t\) distribution
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
- A practical multivariate approach to testing volatility spillover
- Assessing Markov property in multistate transition models with applications to credit risk modeling
- A Projective Approach to Conditional Independence Test for Dependent Processes
- Testing stationarity and change point detection in reinforcement learning
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