Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
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Publication:707402
DOI10.1016/J.JMVA.2004.01.005zbMATH Open1087.62098OpenAlexW1979274417MaRDI QIDQ707402FDOQ707402
Authors: Marc Hallin, Davy Paindaveine 
Publication date: 9 February 2005
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2004.01.005
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Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
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Cited In (24)
- Optimal rank-based tests for block exogeneity in vector autoregressions
- Optimal tests for elliptical symmetry: specified and unspecified location
- On the efficiency of affine invariant multivariate rank tests
- Rank-based testing for semiparametric VAR models: a measure transportation approach
- Affine-invariant rank tests for the bivariate one-way layout and for simple regression models
- Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
- Optimal rank-based testing for principal components
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Rank-based optimal tests of the adequacy of an elliptic VARMA model
- Asymptotic linearity of serial and nonserial multivariate signed rank statistics
- On Liu's simplicial depth and Randles' interdirections
- On Hodges and Lehmann’s “6/π Result”
- Aligned rank tests for the linear model with heteroscedastic errors
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
- A Chernoff-Savage result for shape: On the non-admissibility of pseudo-Gaussian methods
- A unified and elementary proof of serial and nonserial, univariate and multivariate, Chernoff--Savage results
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
- A class of optimal tests for contemporaneous non-causality in VAR models
- Tests for conditional ellipticity in multivariate GARCH models
- A simple R-estimation method for semiparametric duration models
- Multivariate signed-rank tests in vector autoregressive order identification
- Optimal signed-rank tests based on hyperplanes
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