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Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models

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  • Marc Hallin
  • Madan Lal Puri

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Suggested Citation

  • Marc Hallin & Madan Lal Puri, 1988. "Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models," ULB Institutional Repository 2013/2013, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2013
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    Cited by:

    1. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    2. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
    3. repec:cte:wsrepe:3729 is not listed on IDEAS
    4. 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.
    5. Lanh Tran & Ba Chu & Chunfeng Huang & Kim P. Huynh, 2014. "Adaptive permutation tests for serial independence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 183-208, August.
    6. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
    7. Massé, Bruno & Viano, Marie-Claude, 1995. "Explicit and exponential bounds for a test on the coefficient of an AR(1) model," Statistics & Probability Letters, Elsevier, vol. 25(4), pages 365-371, December.
    8. 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.
    9. 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.

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