Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process

Annals of the Institute of Statistical Mathematics

Volumn 63, Issue 2, 2011, Pages 347-373

  Kojadinovic, Ivan ^a   Yan, Jun ^b  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

^b UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Bootstrap; Cram r von Mises statistic; Empirical process; M bius decomposition; Permutation; Serial copula; Test of serial independence

Indexed keywords

BOOTSTRAP; EMPIRICAL PROCESS; PERMUTATION; SERIAL COPULA; TEST OF SERIAL INDEPENDENCE;

FINANCIAL DATA PROCESSING; TIME SERIES;

TESTING;

EID: 79960086039     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-009-0257-x     Document Type: Article

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