A test for independence based on the correlation dimension

DOI10.1080/07474939608800353zbMath0893.62034OpenAlexW1507259579MaRDI QIDQ4355133

Blake LeBaron, William A. Brock, José Alexandre Scheinkman, W. Davis Dechert

Publication date: 24 August 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800353

zbMATH Keywords

chaos model selection specification tests nonlinear time series correlation dimension test of independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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