A conversation with Marc Hallin

Cites Work

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Quantile spectral processes: asymptotic analysis and inference
Monge-Kantorovich depth, quantiles, ranks and signs
Optimal rank-based testing for principal components
A class of optimal tests for symmetry based on local Edgeworth approximations
Dynamic factors in the presence of blocks
Spectral factorization of nonstationary moving average processes
Optimal rank-based tests for homogeneity of scatter
Linear serial rank tests for randomness against ARMA alternatives
Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
Time series analysis via rank order theory: Signed-rank tests for ARMA models
Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
Asymptotically most powerful rank tests for multivariate randomness against serial dependence
Aligned rank tests for linear models with autocorrelated error terms
Optimal tests for autoregressive models based on autoregression rank scores
Generalized dynamic factor models and volatilities: estimation and forecasting
Semi-parametric efficiency, distribution-freeness and invariance
Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.
Local asymptotic normality of multivariate ARMA processes with a linear trend
Distribution and quantile functions, ranks and signs in dimension $d$: a measure transportation approach
Multivariate goodness-of-fit tests based on Wasserstein distance
On universally consistent and fully distribution-free rank tests of vector independence
The integrated copula spectrum
Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
Of copulas, quantiles, ranks and spectra: an $L_{1}$-approach to spectral analysis
Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
Semiparametrically efficient rank-based inference for shape. II: Optimal $R$-estimation of shape
Rank-based optimal tests of the adequacy of an elliptic VARMA model
Optimal rank-based tests for common principal components
The generalized dynamic factor model consistency and rates
Factor models in high-dimensional time series: A time-domain approach
Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity
Time-varying general dynamic factor models and the measurement of financial connectedness
Hájek projection and Bernstein polynomials
Modern Nonparametric, Robust and Multivariate Methods
Improved Eaton Bounds for Linear Combinations of Bounded Radom Variables, With Statistical Applications
The Efficiency of Some Nonparametric Competitors of the $t$-Test
The Swedish automobile portfolio in 1977
A Distribution-Free Multivariate Sign Test Based on Interdirections
Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Funds, Factors, and Diversification in Arbitrage Pricing Models
On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
Kernel density estimation for random fields: TheL₁Theory
Generalized runs tests for heteroscedastic time series
Forecasting Using Principal Components From a Large Number of Predictors
Kendall's tau for serial dependence
Rank-Based Autoregressive Order Identification
Quantile Spectral Analysis for Locally Stationary Time Series
A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence
Efficient R-Estimation of Principal and Common Principal Components
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
On Hodges and Lehmann’s “6/π Result”
Determining the Number of Factors in the General Dynamic Factor Model
Dynamic Functional Principal Components
Inferential Theory for Factor Models of Large Dimensions
The Generalized Dynamic Factor Model
Density estimation for spatial linear processes
Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
Factor models for high‐dimensional functional time series I: Representation results
Factor models for high‐dimensional functional time series II: Estimation and forecasting
Inferential theory for generalized dynamic factor models
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

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