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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

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    1. 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.
    2. Hong, Yongmiao, 1996. "Testing for independence between two covariance stationary time series," MPRA Paper 108731, University Library of Munich, Germany.
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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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