Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
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Volume (Year): 63 (2011)
Issue (Month): 2 (April)
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References listed on IDEAS
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Marc Hallin & Madan Lal Puri, 1995. "A multivariate Wald-Wolfowitz rank test against serial dependence," ULB Institutional Repository 2013/2051, ULB -- Universite Libre de Bruxelles.
- Beran, R. & Bilodeau, M. & Lafaye de Micheaux, P., 2007. "Nonparametric tests of independence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 98(9), pages 1805-1824, October.
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