On testing for separable correlations of multivariate time series

Yasumasa Matsuda, Yoshihiro Yajima

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)501-528
Number of pages28
JournalJournal of Time Series Analysis
Volume25
Issue number4
DOIs
Publication statusPublished - 2004 Jul 1
Externally publishedYes

Keywords

  • Nonparametric test
  • Periodogram
  • Separable correlation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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