Testing for correlation between two time series using a parametric bootstrap
Testing for correlation between two time series using a parametric bootstrap
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Author / Creator
Publisher
England: Taylor & Francis
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Language
English
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Publication information
Publisher
England: Taylor & Francis
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Scope and Contents
Contents
We study the problem of determining if two time series are correlated in the mean and variance. Several test statistics, originally designed for determining the correlation between two mean processes or goodness-of-fit testing, are explored and formally introduced for determining cross-correlation in variance. Simulations demonstrate the theoretica...
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Full title
Testing for correlation between two time series using a parametric bootstrap
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Record Identifier
TN_cdi_proquest_miscellaneous_2677574988
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_2677574988
Other Identifiers
ISSN
0266-4763
E-ISSN
1360-0532
DOI
10.1080/02664763.2020.1783519
