Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
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Publication:3632600
DOI10.1198/016214507000001076zbMath1332.62298MaRDI QIDQ3632600
Christian Genest, Kilani Ghoudi, Bruno Rémillard
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/10.1198/016214507000001076
copula; time series; rank; empirical process; randomness; pseudo-observation; Brock, Dechert, and Scheinkman statistic
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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