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A test for independence of two stationary infinite order autoregressive processes

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  • Eunhee Kim
  • Sangyeol Lee

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  • Eunhee Kim & Sangyeol Lee, 2005. "A test for independence of two stationary infinite order autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 105-127, March.
    • Handle: RePEc:spr:aistmt:v:57:y:2005:i:1:p:105-127
    DOI: 10.1007/BF02506882
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    References listed on IDEAS

    as
    1. Hong, Yongmiao, 1996. "Testing for independence between two covariance stationary time series," MPRA Paper 108731, University Library of Munich, Germany.
    2. Miguel A. Delgado, 1996. "Testing Serial Independence Using The Sample Distribution Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 271-285, May.
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    Cited by:

    1. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.

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