Time series analysis via rank order theory: Signed-rank tests for ARMA models
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- Marc Hallin & Madan Lal Puri, 1991. "Time series analysis via rank-order theory, signed-rank tests for ARMA models," ULB Institutional Repository 2013/2029, ULB -- Universite Libre de Bruxelles.
Citations
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Cited by:
- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003.
"Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality,"
Discussion Paper
2003-23, Tilburg University, Center for Economic Research.
- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2006. "Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality," Other publications TiSEM 343e49a2-4527-4c03-b247-9, Tilburg University, School of Economics and Management.
- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2003. "Serial and Nonserial Sign-and-Rank Statistics : Asymptotic Representation and Asymptotic Normality," Other publications TiSEM 620d09ba-f476-426d-b236-3, Tilburg University, School of Economics and Management.
- Mark van de Wiel, 2001. "The split-up algorithm: a fast symbolic method for computing p-values of distribution-free statistics," Computational Statistics, Springer, vol. 16(4), pages 519-538, December.
- Bernard Garel & Marc Hallin, 1995.
"Local asymptotic normality of multivariate ARMA processes with a linear trend,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
- Garel, B. & Hallin, M., 1992. "Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend," Papers 9213, Universite Libre de Bruxelles - C.E.M.E..
- Marc Hallin & Bernard Garel, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," ULB Institutional Repository 2013/2053, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Bas Werker, 2003.
"Semiparametric efficiency, distribution-freeness, and invariance,"
ULB Institutional Repository
2013/2119, ULB -- Universite Libre de Bruxelles.
- Hallin, M. & Werker, B.J.M., 2003. "Semiparametric efficiency, distribution-freeness and invariance," Other publications TiSEM fe20db00-786a-4261-9999-6, Tilburg University, School of Economics and Management.
- Petar Sorić, 2020. "“Normal†growth of the Chinese economy: new metrics based on consumer confidence data," Economics Bulletin, AccessEcon, vol. 40(2), pages 1740-1746.
- J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Karl B. Gregory & Soumendra N. Lahiri & Daniel J. Nordman, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 442-461, May.
- Garel, Bernard & Hallin, Marc, 2000.
"Rank-based partial autocorrelations are not asymptotically distribution-free,"
Statistics & Probability Letters, Elsevier, vol. 47(3), pages 219-227, April.
- Bernard Garel & Marc Hallin, 2000. "Rank-based partial autocorrelations are not asymptotically distribution-free," ULB Institutional Repository 2013/127974, ULB -- Universite Libre de Bruxelles.
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Keywords
signed ranks serial rank statistics ARMA models asymptotic relative efficiency locally asymptotically optimal tests;Statistics
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