Local asymptotic normality of multivariate ARMA processes with a linear trend

zbMATH Open0841.62076MaRDI QIDQ1909458FDOQ1909458

Authors: B. Garel, Marc Hallin 

Publication date: 20 May 1996

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

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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)

Cited In (23)

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

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