Garel, Bernard; Hallin, Marc - In: Statistics & Probability Letters 47 (2000) 3, pp. 219-227
Traditional AR order-identification methods rely on an inspection of partial correlograms. The rank-based version of partial correlograms is investigated here. Unlike the rank-based versions of Lagrange multiplier test statistics considered in Hallin and Puri (1994, J. Multivariate Anal. 50,...