Rank-Based Autoregressive Order Identification

DOI10.2307/2669948zbMath0994.62089OpenAlexW2272749830MaRDI QIDQ4541277

Bernard Garel, Marc Hallin

Publication date: 30 July 2002

Full work available at URL: https://doi.org/10.2307/2669948

zbMATH Keywords

time seriesautoregressive modelrank testrobust methodsorder identification

Mathematics Subject Classification ID

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

Related Items (8)

On robust estimation of negative binomial INARCH models ⋮ The quantilogram: with an application to evaluating directional predictability ⋮ GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS ⋮ Order Patterns in Time Series ⋮ Rank-based partial aurocorrelations are not asymptotically distribution-free ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors ⋮ Multivariate signed-rank tests in vector autoregressive order identification ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

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