Tests for noncorrelation of two multivariate ARMA time series
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Cites work
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
- Asymptotic covariance structure of serial correlations in multivariate time series
- Causality in temporal systems. Characterizations and a Survey
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Computation of the theoretical autocovariance function for a vector arma process
- Distribution of Multivariate White Noise Autocorrelations
- Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Modeling Multiple Times Series with Applications
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
- The asymptotic distribution of serial covariances
- The Multivariate Portmanteau Statistic
Cited in
(25)- Multivariate out-of-sample tests for Granger causality
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Testing for serial independence in vector autoregressive models
- Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
- A model-free test for independence between time series
- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
- A distance-based test of independence between two multivariate time series
- A generalized portmanteau test for independence between two stationary time series
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Optimal Tests of Noncorrelation Between Multivariate Time Series
- Optimal rank-based tests for block exogeneity in vector autoregressions
- Distribution of the cross‐correlations of squared residuals in ARIMA models
- Tests for non-correlation of two cointegrated ARMA time series
- New HSIC-based tests for independence between two stationary multivariate time series
- Most stringent test of independence for time series
- On testing for causality in variance between two multivariate time series
- Inference about long run canonical correlations
- Consistent testing for non‐correlation of two cointegrated ARMA time series
- Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
- A note on testing hypotheses for stationary processes in the frequency domain
- Vector moving average models: a review
- On the asymptotic distribution of residual autocovariances in VARX models with applications
- A frequency-domain based test for non-correlation between stationary time series
- Testing for independence between functional time series
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