Vector Cross-Correlation in Time Series and Applications

DOI10.2307/1403755zbMath0826.62065OpenAlexW2334488315MaRDI QIDQ4850134

Robert Cléroux, Roch Roy

Publication date: 28 November 1995

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403755

zbMATH Keywords

time seriesserial dependencetest of independenceportmanteau testvector correlationstationary multivariate time serieshypothesis of white noisejointly stationary multivariate stochastic processesvector autocorrelationvector cross-correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Unnamed Item ⋮ The asymptotic covariance matrix of the multivariate serial correlations ⋮ Vector correlation based on ranks and a nonparametric test of no association between vectors¹ ⋮ On the identification of ARMA echelon-form models ⋮ Statistical inference concerning several redundancy indices

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