Optimal Tests of Noncorrelation Between Multivariate Time Series
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Publication:3632561
DOI10.1198/016214507000000239zbMath1469.62328OpenAlexW1997098670MaRDI QIDQ3632561
Publication date: 12 June 2009
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214507000000239
time serieslocal asymptotic normalityvector autoregressive modelHaugh-El Himdi-Roy testsKoch-Yang-Hallin-Saidi teststests of noncorrelation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07)
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