On testing for independence between the innovations of several time series
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Publication:2856550
DOI10.1002/cjs.11141zbMath1333.62208OpenAlexW2064263801MaRDI QIDQ2856550
Pierre Duchesne, Bruno Rémillard, Kilani Ghoudi
Publication date: 29 October 2013
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11141
copulaindependencetime seriescross-correlationrank-based test statisticCramér-von Mises test statisticKolmogorov-Smirnov test statisticmultivariate lag
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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