A frequency-domain based test for non-correlation between stationary time series

DOI10.1007/s00184-006-0065-8zbMath1106.62096OpenAlexW2060447169MaRDI QIDQ870508

Michael Eichler

Publication date: 12 March 2007

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-006-0065-8

zbMATH Keywords

SimulationsBandwidth selectionMultivariate time seriesNon-correlationSpectral coherence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (9)

Constructing brain connectivity group graphs from EEG time series ⋮ On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series ⋮ Locally stationary functional time series ⋮ A note on testing hypotheses for stationary processes in the frequency domain ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ A local spectral approach for assessing time series model misspecification ⋮ Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series ⋮ On nonparametric and semiparametric testing for multivariate linear time series

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