A nonparametric measure of independence under a hypothesis of independent components
AbstractAsymptotic normality is derived for a nonparametric measure of independence of the components of random two-vectors. This result is obtained without the restrictive assumptions previuosly made on rate of convergence of the bandwidth sequence of the density estimates used.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 15 (1992)
Issue (Month): 3 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
- Diks, C.G.H. & Panchenko, V., 2005.
"Nonparametric Tests for Serial Independence Based on Quadratic Forms,"
CeNDEF Working Papers
05-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute.
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