Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
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Publication:3632600
DOI10.1198/016214507000001076zbMath1332.62298OpenAlexW2020483759MaRDI QIDQ3632600
Bruno Rémillard, Christian Genest, Kilani Ghoudi
Publication date: 12 June 2009
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214507000001076
copulatime seriesrankempirical processrandomnesspseudo-observationBrock, Dechert, and Scheinkman statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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