A0949
Title: Statistical methods for multivariate time series with arbitrary distributions
Authors: Bruno Remillard - HEC Montreal (Canada) [presenting]
Bouchra Nasri - University of Montreal (Canada)
Kilani Ghoudi - United Arab Emirates University (United Arab Emirates)
Abstract: The aim is to present recent statistical methods that can be used for multivariate time series with arbitrary distributions, i.e., the associated distributions can be continuous, discrete, or a mixture of continuous and discrete, such as zero-inflated distributions. Using a new transformation, it is possible to define tests of independence between time series, as well as tests of goodness-of-fit.
