Consistent testing for non‐correlation of two cointegrated ARMA time series (Q5421219)
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scientific article; zbMATH DE number 5202815
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistent testing for non‐correlation of two cointegrated ARMA time series |
scientific article; zbMATH DE number 5202815 |
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Consistent testing for non‐correlation of two cointegrated ARMA time series (English)
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22 October 2007
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cointegration
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independence test
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kernel function
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multivariate autoregressive moving average model
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portmanteau statistics
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residual cross-correlation matrices
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