A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function

Monte Carlo study quadratic form asymptotic test Satterthwaite's procedure univariate ARIMA model Haugh test for independence regression F tests successive cross-correlation coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Probabilistic methods, stochastic differential equations (65C99)

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