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Rank-based partial autocorrelations are not asymptotically distribution-free

Hallin, Marc; Garel, Bernard - Solvay Brussels School of Economics and Management, … - 2000

Persistent link: https://www.econbiz.de/10011011460

Rank-Based Autoregressive Order Identification

Hallin, Marc; Garel, Bernard - Solvay Brussels School of Economics and Management, … - 1999

Persistent link: https://www.econbiz.de/10011011729

Rank-based AR order identification

Hallin, Marc; Garel, Bernard - Solvay Brussels School of Economics and Management, … - 1999

Persistent link: https://www.econbiz.de/10008531228

Local asymptotic normality of multivariate ARMA processes with a linear trend

Hallin, Marc; Garel, Bernard - Solvay Brussels School of Economics and Management, … - 1995

Persistent link: https://www.econbiz.de/10008574386

Rank-based partial correlograms are not asymptotically distribution-free

Hallin, Marc; Garel, Bernard - Solvay Brussels School of Economics and Management, … - 2000

Persistent link: https://www.econbiz.de/10008590277

Local asymptotic normality of multivariate ARMA processes with a linear trend

Garel, Bernard; Hallin, Marc - In: Annals of the Institute of Statistical Mathematics 47 (1995) 3, pp. 551-579

Persistent link: https://www.econbiz.de/10005169232

Rank-based partial autocorrelations are not asymptotically distribution-free

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,...

Persistent link: https://www.econbiz.de/10005319747

Theory and Methods - Rank-Based Autoregressive Order Identification

Garel, Bernard; Hallin, Marc - In: Journal of the American Statistical Association : JASA 94 (1999) 448, pp. 1357-1371

Persistent link: https://www.econbiz.de/10006625891

Local asymptotic normality of multivariate ARMA processes with a linear trend

Garel, Bernard; Hallin, Marc - In: Annals of the Institute of Statistical Mathematics : AISM 47 (1995) 3, pp. 551-580

Persistent link: https://www.econbiz.de/10007336428