Inference on local causality and tests of non-causality in time series

DOI10.1214/19-EJS1623zbMath1431.62355MaRDI QIDQ2326994

Taoufik Bouezmarni, Jean-François Quessy, Felix Camirand Lemyre

Publication date: 11 October 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1570586485

zbMATH Keywords

weak convergencebandwidth selectionconditional copula\(\alpha\)-mixing processeslocal linear kernel estimationKendall and Spearman dependence measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84) Markov processes: hypothesis testing (62M02)

Related Items (1)

Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Conditional copulas, association measures and their applications
• Multivariate regression estimation: Local polynomial fitting for time series
• Weak convergence and empirical processes. With applications to statistics
• On the large-sample behavior of two estimators of the conditional copula under serially dependent data
• Nonparametric estimation and inference for conditional density based Granger causality measures
• Short and long run causality measures: theory and inference
• Estimation of a Conditional Copula and Association Measures
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• A Flexible and Fast Method for Automatic Smoothing
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Noncausality in Continuous Time
• Vine Copula Specifications for Stationary Multivariate Markov Chains
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications

This page was built for publication: Inference on local causality and tests of non-causality in time series