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Journal of the American Statistical Association Volume 117, 2022 - Issue 538
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Theory and Methods

Center-Outward R-Estimation for Semiparametric VARMA Models

M. Hallina ECARES, Université libre de Bruxelles, Bruxelles, BelgiumCorrespondence[email protected]
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,
D. La Vecchiab GSEM, Research Center for Statistics, University of Geneva, Geneva, SwitzerlandView further author information
&
H. Liuc International Institute of Finance, School of Management, University of Science and Technology of China, Hefei, ChinaView further author information
Pages 925-938 | Received 18 Oct 2019, Accepted 26 Sep 2020, Published online: 07 Dec 2020

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Nabarun Deb & Bodhisattva Sen. (2023) Multivariate Rank-Based Distribution-Free Nonparametric Testing Using Measure Transportation. Journal of the American Statistical Association 118:541, pages 192-207.
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Articles from other publishers (9)

Marc Hallin. 2024. Optimal Transport Statistics for Economics and Related Topics. Optimal Transport Statistics for Economics and Related Topics 90 106 .
Marc Hallin, Davide La Vecchia & Hang Liu. (2023) Rank-based testing for semiparametric VAR models: A measure transportation approach. Bernoulli 29:1.
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Davide La Vecchia, Elvezio Ronchetti & Andrej Ilievski. (2023) On Some Connections Between Esscher’s Tilting, Saddlepoint Approximations, and Optimal Transportation: A Statistical Perspective. Statistical Science 38:1.
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Marc Hallin & Hang Liu. (2023) Center-outward Rank- and Sign-based VARMA Portmanteau Tests: Chitturi, Hosking, and Li–McLeod revisited. Econometrics and Statistics.
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Marc Hallin & Gilles Mordant. 2023. Robust and Multivariate Statistical Methods. Robust and Multivariate Statistical Methods 87 119 .
Hongjian Shi, Marc Hallin, Mathias Drton & Fang Han. (2022) On universally consistent and fully distribution-free rank tests of vector independence. The Annals of Statistics 50:4.
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Marc Hallin. (2022) Measure Transportation and Statistical Decision Theory. Annual Review of Statistics and Its Application 9:1, pages 401-424.
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Hang Liu & Kanchan Mukherjee. (2022) R-estimators in GARCH models: asymptotics and applications. The Econometrics Journal 25:1, pages 98-113.
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Marc Hallin, Eustasio del Barrio, Juan Cuesta-Albertos & Carlos Matrán. (2021) Distribution and quantile functions, ranks and signs in dimension d: A measure transportation approach. The Annals of Statistics 49:2.
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