On testing for separable correlations of multivariate time series
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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Volume (Year): 25 (2004)
Issue (Month): 4 (07)
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