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On testing for separable correlations of multivariate time series
Author(s) -
Matsuda Yasumasa,
Yajima Yoshihiro
Publication year - 2004
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2004.01795.x
Subject(s) - mathematics , multivariate statistics , series (stratigraphy) , nonparametric statistics , statistics , separable space , statistical hypothesis testing , mathematical analysis , paleontology , biology
. 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.