On Testing for Separable Correlations of Multivariate Time Series

We propose a test for separability of the correlation structure of a multivariate time series. We construct test statistics based on a spectral density matrix estimated in a nonparametric way and derive their asymptotic properties. We use simulation to check the performance in finite samples

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Year of publication:	2004
Authors:	Matsuda, Yasumasa ; Yoshihiro, Yajima
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Multivariate Analyse \| Multivariate analysis \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014071018