Local asymptotic normality of multivariate ARMA processes with a linear trend

MaRDI QIDQ1909458zbMATH OpenFDO

Authors B. Garel, Marc Hallin

Publication date 20 May 1996

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

local asymptotic normalitycorrelogramlinear trendmultivariate ARMA modelsARMA error termgeneralized concept of residual cross-covariance functionmultivariate general linear models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(23)

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• Distribution-free tests of multivariate independence based on center-outward quadrant, Spearman, Kendall, and van der Waerden statistics
• Optimal rank-based tests for block exogeneity in vector autoregressions
• A conversation with Marc Hallin
• Local asymptotic normality for long-memory process with strong mixing noises
• Models for circular data from time series spectra
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Rank-based optimal tests of the adequacy of an elliptic VARMA model
• Local asymptotic normality for regression models with long-memory disturbance
• Center-Outward R-Estimation for Semiparametric VARMA Models
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Local asymptotic normality for multivariate nonlinear AR processes
• Affine-invariant rank tests for multivariate independence in independent component models
• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Asymptotic linearity of serial and nonserial multivariate signed rank statistics
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
• Efficient detection of random coefficients in autoregressive models
• Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
• On several local asymptotic properties for fractional autoregressive models with strong mixing noises
• Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
• Local asymptotic normality for a periodically time varying long memory parameter

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