Inference about long run canonical correlations
DOI10.1111/j.1467-9892.2012.00798.xzbMath1281.62180OpenAlexW1904914601MaRDI QIDQ5397941
Alastair R. Hall, Prosper Dovonon, Kalidas Jana
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00798.x
cointegrationlong run canonical correlationsasymptotic independence of standardized sumscanonical coherencesinference about and based on moment conditions
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
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