On testing for separable correlations of multivariate time series
AbstractWe propose a test for separability of the correlation structure of a multivariate time series. We construct test statistics based on a spectral density matrix estimated in a nonparametric way and derive their asymptotic properties. We use simulation to check the performance in finite samples. Copyright 2004 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 25 (2004)
Issue (Month): 4 (07)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
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- Dette, Holger & Paparoditis, Efstathios, 2008. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Technical Reports 2008,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Eichler, Michael, 2008.
"Testing nonparametric and semiparametric hypotheses in vector stationary processes,"
Journal of Multivariate Analysis,
Elsevier, vol. 99(5), pages 968-1009, May.
- Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Open Access publications from Maastricht University urn:nbn:nl:ui:27-13783, Maastricht University.
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