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Rank tests for time-series analysis: a survey

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  • Marc Hallin
  • Madan Lal Puri

Abstract

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  • Marc Hallin & Madan Lal Puri, 1992. "Rank tests for time-series analysis: a survey," ULB Institutional Repository 2013/2229, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2229
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    Cited by:

    1. Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
    2. Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006. "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 123-142, January.
    3. Wang, Hongfei & Liu, Binghui & Feng, Long & Ma, Yanyuan, 2024. "Rank-based max-sum tests for mutual independence of high-dimensional random vectors," Journal of Econometrics, Elsevier, vol. 238(1).
    4. Marc Hallin & Khalid Rifi, 1997. "A Berry-Esséen Theorem for Serial Rank Statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(4), pages 777-799, December.
    5. M'hammed Kadri & Khalid Rifi, 2002. "Asymptotic Bound on the Characteristic Function of Signed Linear Serial Rank Statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 391-403, June.
    6. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
    7. 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.
    8. Husková, M., 2003. "Serial rank statistics for detection of changes," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 199-213, January.
    9. Ai, Chunrong & Sun, Li-Hsien & Zhang, Zheng & Zhu, Liping, 2024. "Testing unconditional and conditional independence via mutual information," Journal of Econometrics, Elsevier, vol. 240(2).
    10. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 335-369, December.
    11. Kugiumtzis, Dimitris & Tsimpiris, Alkiviadis, 2010. "Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i05).
    12. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
    13. repec:jss:jstsof:33:i05 is not listed on IDEAS
    14. Hasan, Mohammad N., 2001. "Rank tests of unit root hypothesis with infinite variance errors," Journal of Econometrics, Elsevier, vol. 104(1), pages 49-65, August.
    15. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.

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