Center-outward R-estimation for semiparametric VARMA models
Marc Hallin (SBS-EM, ECARES, Université libre de Bruxelles), Davide La Vecchia (Research Center for Statistics, University of Geneva), Hang Liu (Department of Mathematics and Statistics, Lancaster University)
| Year of publication: |
[2019]
|
|---|---|
| Authors: | Hallin, Marc ; La Vecchia, Davide ; Liu, Hang |
| Publisher: |
Brussels, Belgium : ECARES |
| Subject: | Multivariate ranks | Distribution-freeness | Local asymptotic normality | Measure transportation | Quasi likelihood estimation | Skew innovation density | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Ranking-Verfahren | Ranking method | VAR-Modell | VAR model |
freely available