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  • Search: subject:"test for multivariate white noise"
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linear covariance structure 1 locally best test 1 locally uniformly best test 1 random components 1 score test 1 similar test 1 test for multivariate white noise 1 time series 1
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Nyblom, Jukka 1
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Journal of Multivariate Analysis 1
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Invariant Tests for Covariance Structures in Multivariate Linear Model
Nyblom, Jukka - In: Journal of Multivariate Analysis 76 (2001) 2, pp. 294-315
The null hypothesis that the error vectors in a multivariate linear model are independent is tested against the alternative hypothesis that they are dependent in some specified manner. This dependence is assumed to be due to common random components or autocorrelation over time. The testing...
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