Center-Outward R-Estimation for Semiparametric VARMA Models
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Publication:5885116
DOI10.1080/01621459.2020.1832501OpenAlexW3091956089MaRDI QIDQ5885116
Davide La Vecchia, Marc Hallin, Hang Liu
Publication date: 27 March 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.08442
local asymptotic normalityquasi-likelihood estimationmultivariate ranksdistribution-freenessmeasure transportationskew innovation density
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (6)
Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA ⋮ Multivariate Rank-Based Distribution-Free Nonparametric Testing Using Measure Transportation ⋮ On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective ⋮ Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach ⋮ On universally consistent and fully distribution-free rank tests of vector independence ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach
Uses Software
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