On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications

Chafik Bouhaddioui; Roch Roy

doi:10.1016/j.spl.2005.07.004

On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications

Chafik Bouhaddioui
, Roch Roy

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

Here we derive the asymptotic distribution of an arbitrary vector of residual cross-correlations resulting from the fitting of finite autoregressions to two uncorrelated infinite order vector autoregressive series. Its asymptotic distribution is the same multivariate normal as the one of the corresponding vector of cross-correlations between the two innovation series. The application of that result for testing the uncorrelatedness of two series is also discussed.

Original language	English
Pages (from-to)	58-68
Number of pages	11
Journal	Statistics and Probability Letters
Volume	76
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2005.07.004
Publication status	Published - Jan 1 2006
Externally published	Yes

Keywords

Asymptotic distribution
Finite autoregression
Portmanteau statistics
Residual cross-correlations
Tests for non-correlation

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2005.07.004

Cite this

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abstract = "Here we derive the asymptotic distribution of an arbitrary vector of residual cross-correlations resulting from the fitting of finite autoregressions to two uncorrelated infinite order vector autoregressive series. Its asymptotic distribution is the same multivariate normal as the one of the corresponding vector of cross-correlations between the two innovation series. The application of that result for testing the uncorrelatedness of two series is also discussed.",

keywords = "Asymptotic distribution, Finite autoregression, Portmanteau statistics, Residual cross-correlations, Tests for non-correlation",

author = "Chafik Bouhaddioui and Roch Roy",

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AU - Bouhaddioui, Chafik

AU - Roy, Roch

N1 - Funding Information: This work was supported by grants to the second named author from the Natural Science and Engineering Research Council of Canada, the Network of Centers of Excellence on the Mathematics of Information Technology and Complex Systems (MITACS) and the Fonds québécois de la recherche sur la nature et les technologies (FQRNT).

PY - 2006/1/1

Y1 - 2006/1/1

N2 - Here we derive the asymptotic distribution of an arbitrary vector of residual cross-correlations resulting from the fitting of finite autoregressions to two uncorrelated infinite order vector autoregressive series. Its asymptotic distribution is the same multivariate normal as the one of the corresponding vector of cross-correlations between the two innovation series. The application of that result for testing the uncorrelatedness of two series is also discussed.

AB - Here we derive the asymptotic distribution of an arbitrary vector of residual cross-correlations resulting from the fitting of finite autoregressions to two uncorrelated infinite order vector autoregressive series. Its asymptotic distribution is the same multivariate normal as the one of the corresponding vector of cross-correlations between the two innovation series. The application of that result for testing the uncorrelatedness of two series is also discussed.

KW - Asymptotic distribution

KW - Finite autoregression

KW - Portmanteau statistics

KW - Residual cross-correlations

KW - Tests for non-correlation

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DO - 10.1016/j.spl.2005.07.004

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SN - 0167-7152

VL - 76

SP - 58

EP - 68

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 1

ER -

On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications

Abstract

Keywords

ASJC Scopus subject areas

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