A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence

DOI10.2307/3315551MaRDI QIDQ4837804zbMATH OpenOpenAlexFDO

Authors Marc Hallin, Madan L. Puri

Publication date 3 October 1995

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2022/22265

zbMATH Keywords

contiguous alternativesmultivariate ARMA modelsasymptotic local powermultivariate portmanteau testARMA dependencepermutational central limit theoremmultivariate model identificationrank autocorrelation coefficientsrank cross-covariance matrixrank-based cross-covariance matricesrank-based, permutationallly distribution-free testWald-Wolfowitz rank test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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(12)

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• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
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• A conversation with Marc Hallin
• Multivariate signed-rank tests in vector autoregressive order identification
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• Quantile spectral processes: asymptotic analysis and inference
• Rank-based optimal tests of the adequacy of an elliptic VARMA model
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• ON THE PERMUTATION DISTRIBUTION OF THE RANK PRODUCT-MOMENT STATISTIC
• Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
• A multivariate generalization of von neumann's ratio

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