Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)

The Korean Statistical Society (한국통계학회)
권호 표지

A Test for Independence between Two Infinite Order Autoregressive Processes

  • Kim, Eun-Hee (Department of Statistics, Seoul National University) ;
  • Lee, Sang-Yeol (Department of Statistics, Seoul National University)
  • Published : 2003.05.23
Download PDF
⟨ Previous Next ⟩

Abstract

This paper considers the independence test for two stationary infinite order autoregressive processes. For a test, we follow the empirical process method devised by Hoeffding (1948) and Blum, Kiefer and Rosenblatt (1961), and construct the Cram${\acute{e}}$r-von Mises type test statistics based on the least squares residuals. It is shown that the proposed test statistics behave asymptotically the same as those based on true errors.

Keywords