Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2003.05a
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- Pages.191-197
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- 2003
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
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
Keywords
- Independence test;
- infinite order autoregressive processes;
- the Cram${\acute{e}}$r-von Mises test;
- residual empirical process;
- weak convergence