A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
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Publication:3740858
DOI10.2307/2289246zbMath0604.62084MaRDI QIDQ3740858
Publication date: 1986
Full work available at URL: https://doi.org/10.2307/2289246
Monte Carlo study; quadratic form; asymptotic test; Satterthwaite's procedure; univariate ARIMA model; Haugh test for independence; regression F tests; successive cross-correlation coefficients
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
65C99: Probabilistic methods, stochastic differential equations
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