The paper presents a systematic theory for asymptotic inferences based on autocovariances of stationary processes. We consider nonparametric tests for se rial correlations using the maximum and the quadratic deviations of sample autocovariances. For these cases, with proper centering and...

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture all scale-free temporal dependence and tail dependence of...