A test for independence of two stationary infinite order autoregressive processes

DOI10.1007/BF02506882MaRDI QIDQ816595zbMATH OpenOpenAlexFDO

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

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)

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• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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• Consistent autoregressive spectral estimates
• Degenerate U-Statistics Based on Non-Independent Observations
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• On residual empirical processes of stochastic regression models with applications to time series
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• Testing for independence between two covariance stationary time series
• Weak convergence of the sequential empirical processes of residuals in ARMA models

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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