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

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

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Cites work

• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• A new look at time series of counts
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• 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)

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

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