Multivariate signed-rank tests in vector autoregressive order identification

DOI10.1214/088342304000000602zbMath1100.62577OpenAlexW2001860837MaRDI QIDQ2503962

Davy Paindaveine, Marc Hallin

Publication date: 22 September 2006

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/088342304000000602

zbMATH Keywords

signsautoregressive processeselliptic symmetryRanksinterdirectionsDurbin--Watson test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (9)

Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ Optimal rank-based tests for homogeneity of scatter ⋮ A simple R-estimation method for semiparametric duration models ⋮ Optimal tests for elliptical symmetry: specified and unspecified location ⋮ Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach ⋮ ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES ⋮ Incomplete interdirections and lift-interdirections ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

Cites Work

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