Vector Cross-Correlation in Time Series and Applications

DOI10.2307/1403755MaRDI QIDQ4850134zbMATH OpenOpenAlexFDO

Authors Roch Roy, Robert Cléroux

Publication date 28 November 1995

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403755

zbMATH Keywords

hypothesis of white noisejointly stationary multivariate stochastic processesportmanteau testserial dependencestationary multivariate time seriestest of independencetime seriesvector autocorrelationvector correlationvector cross-correlation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• The asymptotic covariance matrix of the multivariate serial correlations
• Rank-based redundancy index and parametric inference
• On the identification of ARMA echelon-form models
• ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES
• Vector correlation based on ranks and a nonparametric test of no association between vectors¹
• Improving cross-correlation tests through re-sampling techniques
• Testing for high-dimensional white noise using maximum cross-correlations
• Statistical inference concerning several redundancy indices

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