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Original Articles

On Kendall's Autocorrelations

Pages 1733-1738 | Received 30 Aug 2010, Accepted 17 Dec 2010, Published online: 13 Apr 2012

References

  • Berkes , I. , Horváth , L. , Kokoszka , P. ( 2004 ). Probabilistic and statistical properties of GARCH processes . Fields Instit. Commun. 44 : 409 – 429 .
  • Ferguson , T. S. , Genest , C. , Hallin , M. ( 2000 ). Kendall's tau for serial dependence . Can. J. Statist. 28 : 587 – 604 .
  • Orey , S. ( 1958 ). A central limit theorem for m-dependent random variables . Duke Mathemat. J. 25 : 543 – 546 .
  • Shieh , G. S. ( 1998 ). A weighted Kendall's tau statistic . Statist. Probab. Lett. 39 : 17 – 24 .
  • Šiman , M. ( 2005 ). Portmanteau tests based on Kendall's autocorrelation coefficients. In: Proc. 23rd Int. Conf. Mathemat. Meth. Econ., Hradec Králové, Czech Republic .
  • Šiman , M. ( 2006 ). On Portmanteau Tests of Randomness. Doctoral thesis, Faculty of Mathematics and Physics, Charles University in Prague .

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