Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence

zbMath1018.62046MaRDI QIDQ1860997

Publication date: 24 March 2003

Published in: Bernoulli (Search for Journal in Brave)

ranks asymptotic relative efficiency elliptical symmetry affine invariance interdirections ARMA dependence multivariate randomness multivariate white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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