Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
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Publication:6353554
DOI10.3150/21-BEJ1456arXiv2011.06062MaRDI QIDQ6353554FDOQ6353554
Authors: Marc Hallin, Davide La Vecchia, Hang Liu 
Publication date: 11 November 2020
Abstract: We develop a class of tests for semiparametric vector autoregressive (VAR) models with unspecified innovation densities, based on the recent measure-transportation-based concepts of multivariate {it center-outward ranks} and {it signs}. We show that these concepts, combined with Le Cam's asymptotic theory of statistical experiments, yield novel testing procedures, which (a)~are valid under a broad class of innovation densities (possibly non-elliptical, skewed, and/or with infinite moments), (b)~are optimal (locally asymptotically maximin or most stringent) at selected ones, and (c) are robust against additive outliers. In order to do so, we establish a H' ajek asymptotic representation result, of independent interest, for a general class of center-outward rank-based serial statistics. As an illustration, we consider the problems of testing the absence of serial correlation in multiple-output and possibly non-linear regression (an extension of the classical Durbin-Watson problem) and the sequential identification of the order of a vector autoregressive (VAR()) model. A Monte Carlo comparative study of our tests and their routinely-applied Gaussian competitors demonstrates the benefits (in terms of size, power, and robustness) of our methodology; these benefits are particularly significant in the presence of asymmetric and leptokurtic innovation densities. A real data application concludes the paper.
Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Inference from stochastic processes (62Mxx)
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