Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited in

(47)

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Correcting the bias of the sample cross‐covariance estimator
Inference about long run canonical correlations
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New HSIC-based tests for independence between two stationary multivariate time series
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Consistent testing for non‐correlation of two cointegrated ARMA time series
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ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
A frequency-domain based test for non-correlation between stationary time series
Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
Tests for noncorrelation of two multivariate ARMA time series
Nonparametric entropy-based tests of independence between stochastic processes
A test for independence of two stationary infinite order autoregressive processes
Granger-causal analysis of GARCH models: a Bayesian approach
Most stringent test of independence for time series
A distance-based test of independence between two multivariate time series

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