Testing independence of two autocorrelated binary time series

DOI10.1016/J.SPL.2009.09.014MaRDI QIDQ1044019zbMATH OpenOpenAlexFDO

Authors Cheng Chou, Chia-Shang James Chu

Publication date 10 December 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.09.014

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A new look at time series of counts
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• On conditional least squares estimation for stochastic processes
• Some ARMA models for dependent sequences of poisson counts
• Some Aspects of the Time-Correlation Problem in Regard to Tests of Significance
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series

Cited in

(4)

• Estimation of autocorrelation in a binary time series
• A new class of independence tests for interval forecasts evaluation
• Market timing: recent development and a new test
• STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET

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