Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores

DOI10.1016/S0378-3758(98)00151-7zbMath0932.62057OpenAlexW2068730667MaRDI QIDQ1298971

Toufik Zahaf, Jan Picek, Marc Hallin, Jana Jureckova

Publication date: 23 November 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00151-7

zbMATH Keywords

time seriestest of independenceautoregression rank scores

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Related Items (4)

Nonparametric tests in linear model with autoregressive errors ⋮ A model-free test for independence between time series ⋮ Tests for non-correlation of two cointegrated ARMA time series ⋮ On testing for independence between the innovations of several time series

Uses Software

• AS 229

Cites Work

• Unnamed Item
• Regression rank scores and regression quantiles
• Autoregression quantiles and related rank-scores processes
• Tests of linear hypotheses based on regression rank scores
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach

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