A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series
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Publication:3918954
DOI10.2307/2287837zbMath0466.62083MaRDI QIDQ3918954
Publication date: 1981
Full work available at URL: https://doi.org/10.2307/2287837
ARMA models; autoregression; ARIMA models; Lagrange multiplier test; approximate slopes; comparison of tests of independence; covariance-stationary time series; Wald F- test
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
62M07: Non-Markovian processes: hypothesis testing
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