A likelihood test for multivariate serial correlation
多元序列相关的似然检验
A procedure is proposed for testing the hypothesis that a sequence of vector-valued random variables is mutually independent. The test is based on the likelihood criterion for first-order autocorrelation assuming a multivariate normal distribution, is simple computationally, and provides a multivariate generalization of the serial correlation coefficient. The distribution of the test statistic is found to be closely approximated by an F distribution, even in samples of size…