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NEW HSIC-BASED TESTS FOR INDEPENDENCE BETWEEN TWO STATIONARY MULTIVARIATE TIME SERIES

Wang, GC; Li, WK; Zhu, K

Zhu, K (corresponding author), Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Peoples R China.

STATISTICA SINICA, 2021; 31 (1): 269

Abstract

We propose novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt i......

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