Testing for independence in heavy-tailed time series using the codifference function

Authors:
Dedi Rosadi
Affiliations:
Department of Mathematics, Gadjah Mada University, Sekip Utara, Yogyakarta, Indonesia
Venue:
Computational Statistics & Data Analysis
Year:
2009

Citing 6
Cited 1

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Abstract

In this paper, we consider a Portmanteau-type test of randomness for symmetric @a stable random variables with exponent 0