On testing for separable correlations of multivariate time series

Yasumasa Matsuda, Yoshihiro Yajima

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)


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
Issue number4
Publication statusPublished - 2004 Jul 1
Externally publishedYes


  • Nonparametric test
  • Periodogram
  • Separable correlation

ASJC Scopus subject areas

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


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