Asymptotic linearity of serial and nonserial multivariate signed rank statistics

DOI10.1016/j.jspi.2004.05.013zbMath1082.62049MaRDI QIDQ2581796

Marc Hallin, Davy Paindaveine

Publication date: 10 January 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.05.013

zbMATH Keywords

Linear models; VARMA models; Interdirections; Lift-interdirections; Asymptotic linearity; Multivariate ranks; Multivariate signs

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62G10: Nonparametric hypothesis testing

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors, 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, Multivariate signed-rank tests in vector autoregressive order identification

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• On a notion of data depth based on random simplices
• Descriptive statistics for multivariate distributions
• Some mixing properties of time series models
• Time series: theory and methods
• Asymptotic methods in statistical decision theory
• A distribution-free M-estimator of multivariate scatter
• On the efficiency of affine invariant multivariate rank tests
• Aligned rank tests for linear models with autocorrelated error terms
• On the efficiency of multivariate spatial sign and rank tests
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• On adaptive estimation in stationary ARMA processes
• General notions of statistical depth function.
• Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.
• Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence
• Affine equivariant multivariate rank methods
• Local asymptotic normality of multivariate ARMA processes with a linear trend
• Rank-based optimal tests of the adequacy of an elliptic VARMA model
• Optimal signed-rank tests based on hyperplanes
• A multivariate signed sum test for theone-sample location problem
• A Distribution-Free Multivariate Sign Test Based on Interdirections
• A Multivariate Signed-Rank Test for the One-Sample Location Problem
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Asymptotic normality ofr-estimates in the linear model
• The geometry of the affine invariant multivariate sign and rank methods
• Multivariate spatial sign and rank methods
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Affine-Invariant Multivariate One-Sample Signed-Rank Tests
• A Simpler, Affine-Invariant, Multivariate, Distribution-Free Sign Test
• Estimates of Regression Coefficients Based on the Sign Covariance Matrix
• Affine Invariant Multivariate Sign and Rank Tests and Corresponding Estimates: a Review
• Asymptotic Linearity of a Rank Statistic in Regression Parameter
• An Analogue, for Signed Rank Statistics, of Jureckova's Asymptotic Linearity Theorem for Rank Statistics