Testing for independence by the empirical characteristic function
نویسندگان
چکیده
منابع مشابه
Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function
This paper proposes an asymptotic one-sided N(0, 1) test for independence between two stationary time series using the empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch & Yang 1986), the proposed test has power against all pairwise cross-dependencies, including those with zero cross-correlation. By differentiating the...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1985
ISSN: 0047-259X
DOI: 10.1016/0047-259x(85)90022-3