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On testing for independence between the innovations of several time series

✍ Scribed by Pierre Duchesne; Kilani Ghoudi; Bruno Rémillard


Book ID
112060545
Publisher
John Wiley and Sons
Year
2012
Tongue
French
Weight
283 KB
Volume
40
Category
Article
ISSN
0319-5724

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This paper presents nonparametric tests of independence that can be used to test the independence of p random variables, serial independence for time series, or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression r