Tests for Non-Correlation of Two Multivariate Time Series: A Nonparametric Approach

Most of the recent results on tests for non-correlation between two time series are based on the residual serial cross-correlation matrices resulting from appropriate modelling of the two series. However in the stationary case, test procedures can be defined from the serial cross-correlation of the...

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Bibliographische Detailangaben

Veröffentlicht in:	Lecture notes-monograph series 2003-01, Vol.42, p.397-416
Hauptverfasser:	El Himdi, Khalid, Roy, Roch, Duchesne, Pierre
Format:	Artikel
Sprache:	eng
Schlagworte:	Autocorrelation Correlations Covariance Covariance matrices Critical values Degrees of freedom Integers Mathematical vectors Null hypothesis Time series
Online-Zugang:	Volltext
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