Tests of serial independence for continuous multivariate time series based on a Mobius decomposition of the independence empirical copula process

Ivan Kojadinovic (1) , J. Yan (2)

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 Center for Human Genetics, University of Leuven School of Medicine

no abstract

Domaines: Probabilités [math.PR]

Ivan Kojadinovic, J. Yan. Tests of serial independence for continuous multivariate time series based on a Mobius decomposition of the independence empirical copula process. Annals of the Institute of Statistical Mathematics, 2011, 63, pp.347--373. ⟨hal-00868088⟩