Rank-based testing for semiparametric VAR models: A measure transportation approach-Reference-Cited by-同舟云学术

Rank-based testing for semiparametric VAR models: A measure transportation approach

Published:2023-02-01 Issue:1 Volume:29 Page:
ISSN:1350-7265
Container-title:Bernoulli
language:
Short-container-title:Bernoulli

Author:

Hallin Marc¹,La Vecchia Davide²,Liu Hang³

Affiliation:

1. ECARES and Département de Mathématique, Université libre de Bruxelles CP 114/4, Avenue F.D. Roosevelt 50, B-1050 Bruxelles, Belgium

2. Research Center for Statistics, University of Geneva, Bd du Pont d’Arve 40 - CH-1211 Geneva, Switzerland

3. International Institute of Finance, School of Management, University of Science and Technology of China, Hefei, China

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Subject

Statistics and Probability

Reference66 articles.

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2. Hallin, M., del Barrio, E., Cuesta-Albertos, J. and Matrán, C. (2021). Distribution and quantile functions, ranks and signs in dimension d: A measure transportation approach. Ann. Statist. 49 1139–1165. 10.1214/20-aos1996

3. Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle. In Second International Symposium on Information Theory (Tsahkadsor, 1971) (B.N. Petrov and F. Csaki, eds.) 267–281.

4. Azzalini, A. and Capitanio, A. (2003). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. J. R. Stat. Soc. Ser. B. Stat. Methodol. 65 367–389. 10.1111/1467-9868.00391

5. Benghabrit, Y. and Hallin, M. (1992). Optimal rank-based tests against first-order superdiagonal bilinear dependence. J. Statist. Plann. Inference 32 45–61. 10.1016/0378-3758(92)90151-H

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