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On testing for separable correlations of multivariate time series

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  • Yasumasa Matsuda
  • Yoshihiro Yajima

Abstract

We 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 Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 4 (07)
Pages: 501-528

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Handle: RePEc:bla:jtsera:v:25:y:2004:i:4:p:501-528

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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Cited by:
  1. 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.
  2. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.

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