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

ARMA error termcorrelogramgeneralized concept of residual cross-covariance functionlinear trendlocal asymptotic normalitymultivariate ARMA modelsmultivariate general linear models

Mathematics Subject Classification ID

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

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Cited in

(26)

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• Efficient detection of random coefficients in autoregressive models
• Local asymptotic normality for regression models with long-memory disturbance
• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Rank-based optimal tests of the adequacy of an elliptic VARMA model
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Asymptotic linearity of serial and nonserial multivariate signed rank statistics
• Affine-invariant rank tests for multivariate independence in independent component models
• Optimal rank-based tests for block exogeneity in vector autoregressions
• Local asymptotic normality for multivariate nonlinear AR processes
• Local asymptotic normality for long-memory process with strong mixing noises
• Local asymptotic normality for a periodically time varying long memory parameter
• Models for circular data from time series spectra
• Local asymptotic normality for bifurcating autoregressive processes and related asymptotic inference
• Center-Outward R-Estimation for Semiparametric VARMA Models
• Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
• On several local asymptotic properties for fractional autoregressive models with strong mixing noises
• A conversation with Marc Hallin
• Distribution-free tests of multivariate independence based on center-outward quadrant, Spearman, Kendall, and van der Waerden statistics
• Local asymptotic normality in periodic threshold GARCH and periodic GARCH models
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors

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