A test for independence of two stationary infinite order autoregressive processes

DOI10.1007/BF02506882zbMATH Open1083.62090OpenAlexW1966616851MaRDI QIDQ816595FDOQ816595

Authors: Sangyeol Lee, Eun-Hee Kim 

Publication date: 9 March 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02506882

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zbMATH Keywords

independence testweak convergence[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Cram%EF%BF%BD%EF%BF%BDr-von+Mises+test&go=Go Cram��r-von Mises test]residual empirical process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Approximation Theorems of Mathematical Statistics
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• A Non-Parametric Test of Independence
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• Consistent autoregressive spectral estimates
• Weak convergence of the sequential empirical processes of residuals in ARMA models
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• On residual empirical processes of stochastic regression models with applications to time series
• Title not available (Why is that?)
• A nonparametric test of serial independence based on the empirical distribution function
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• An asymptotically optimal selection of the order of a linear process
• Testing for independence between two covariance stationary time series
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Degenerate U-Statistics Based on Non-Independent Observations
• A nonparametric test for serial independence of regression errors
• A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series

Cited In (5)

• On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
• Testing stationary processes for independence
• On testing for independence between the innovations of several time series
• Stability and asymptotics for autoregressive processes
• Most stringent test of independence for time series

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