Wu, Edmond H.C.; Yu, Philip L.H.; Li, W.K. - In: Computational Statistics & Data Analysis 53 (2009) 7, pp. 2524-2536
A test for independence of multivariate time series based on the mutual information measure is proposed. First of all, a test for independence between two variables based on i.i.d. (time-independent) data is constructed and is then extended to incorporate higher dimensions and strictly...