A test for independence of two stationary infinite order autoregressive processes

Eunhee Kim and Sangyeol Lee

Annals of the Institute of Statistical Mathematics, 2005, vol. 57, issue 1, pages 105-127

Keywords: Independence test; infinite order autoregressive processes; the Cramér-von Mises test; residual empirical process; weak convergence (search for similar items in EconPapers)
Date: 2005
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