Asymptotic linearity of serial and nonserial multivariate signed rank statistics

DOI10.1016/J.JSPI.2004.05.013MaRDI QIDQ2581796zbMATH OpenOpenAlexFDO

Authors 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

Asymptotic linearityInterdirectionsLift-interdirectionsLinear modelsMultivariate ranksMultivariate signsVARMA models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A Simpler, Affine-Invariant, Multivariate, Distribution-Free Sign Test
• Affine equivariant multivariate rank methods
• Affine Invariant Multivariate Sign and Rank Tests and Corresponding Estimates: a Review
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• Multivariate spatial sign and rank methods
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
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Cited in

(15)

• Second-order linearity of the general signed-rank statistic
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• On stochastic comparisons and ageing properties of multivariate proportional hazard rate mixtures
• 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
• Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity
• Multivariate signed-rank tests in vector autoregressive order identification
• A class of optimal tests for contemporaneous non-causality in VAR models
• Uniform asymptotic linearity of a process based on a signed rank statistic
• scientific article; zbMATH DE number 3917442 (Why is no real title available?)
• Optimal rank-based tests for block exogeneity in vector autoregressions
• Center-Outward R-Estimation for Semiparametric VARMA Models
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank

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