Estimating and Testing Nonlinear Local Dependence Between Two Time Series

DOI10.1080/07350015.2017.1407777zbMATH Open1548.62581MaRDI QIDQ6634895

Virginia Lacal, Dag Tjøstheim

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
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• The locally Gaussian density estimator for multivariate data
• The jackknife and the bootstrap for general stationary observations
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Local Gaussian Autocorrelation and Tests for Serial Independence
• A nonparametric test of serial independence based on the empirical distribution function
• The Stationary Bootstrap
• Generalized Spectral Tests for Serial Dependence
• Modelling Nonlinear Economic Time Series
• Testing independence for multivariate time series via the auto-distance correlation matrix

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