Rank-based testing for semiparametric VAR models: a measure transportation approach
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Publication:2108478
DOI10.3150/21-BEJ1456MaRDI QIDQ2108478
Davide La Vecchia, Hang Liu, Marc Hallin
Publication date: 19 December 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.06062
local asymptotic normalitymultivariate ranksdistribution-freenessDurbin-Watson testHájek representationVAR order selection
Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx) Nonparametric inference (62Gxx)
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