Improving cross-correlation tests through re-sampling techniques

Jorge Belaire-Franch and Dulce Contreras-Bayarri

Journal of Applied Statistics, 2002, vol. 29, issue 5, 711-720

Abstract: In this paper, we show that type I and type II errors of the cross-correlation test between two autocorrelated time series can be reduced, in some cases, by means of tabulation of the empirical distribution of the sample cross-correlation coefficient, using alternative re-sampling techniques.

Date: 2002
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DOI: 10.1080/02664760120098775

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