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Local asymptotic normality of multivariate ARMA processes with a linear trend

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  • Bernard Garel
  • Marc Hallin

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  • 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.
    • Handle: RePEc:spr:aistmt:v:47:y:1995:i:3:p:551-579
    DOI: 10.1007/BF00773401
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    References listed on IDEAS

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    1. Hallin, Marc & Puri, Madan L., 1991. "Time series analysis via rank order theory: Signed-rank tests for ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 1-29, October.
    2. Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
    3. Marc Hallin & Claude Lefèvre & Madan Lal Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
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    Citations

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    Cited by:

    1. M. Hallin & D. La Vecchia & H. Liu, 2022. "Center-Outward R-Estimation for Semiparametric VARMA Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(538), pages 925-938, April.
    2. Francq, Christian & Zakoian, Jean-Michel, 2023. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
    3. Hallin, Marc & Paindaveine, Davy, 2005. "Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 122-163, March.
    4. Marc Hallin & Hongjian Shi & Mathias Drton & Fang Han, 2021. "Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence," Working Papers ECARES 2021-27, ULB -- Universite Libre de Bruxelles.
    5. Sladana Babic & Laetitia Gelbgras & Marc Hallin & Christophe Ley, 2019. "Optimal tests for elliptical symmetry: specified and unspecified location," Working Papers ECARES 2019-26, ULB -- Universite Libre de Bruxelles.
    6. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    7. Anders Bredahl Kock & David Preinerstorfer, 2019. "Power in High‐Dimensional Testing Problems," Econometrica, Econometric Society, vol. 87(3), pages 1055-1069, May.
    8. Bramati, Maria Caterina, 2013. "Optimal rank-based tests for block exogeneity in vector autoregressions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 141-162.
    9. Nabil Azouagh & Said El Melhaoui, 2021. "Detection of EXPAR nonlinearity in the Presence of a Nuisance Unidentified Under the Null Hypothesis," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 397-429, November.
    10. Masanobu Taniguchi & Shogo Kato & Hiroaki Ogata & Arthur Pewsey, 2020. "Models for circular data from time series spectra," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 808-829, November.
    11. Hongjian Shi & Mathias Drton & Marc Hallin & Fang Han, 2023. "Semiparametrically Efficient Tests of Multivariate Independence Using Center-Outward Quadrant, Spearman, and Kendall Statistics," Working Papers ECARES 2023-03, ULB -- Universite Libre de Bruxelles.
    12. Qin Shao & Lijian Yang, 2017. "Oracally efficient estimation and consistent model selection for auto-regressive moving average time series with trend," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 507-524, March.

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