Center-Outward R-Estimation for Semiparametric VARMA Models

We propose a new class of R-estimators for semiparametric VARMA models in which the innovation density plays the role of the nuisance parameter. Our estimators are based on the novel concepts of multivariate center-outward ranks and signs. We show that these concepts, combined with Le Cam's asy...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Journal of the American Statistical Association Jg. 117; H. 538; S. 925 - 938
Hauptverfasser:	Hallin, M., La Vecchia, D., Liu, H.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Alexandria Taylor & Francis 03.04.2022 Taylor & Francis Ltd
Schlagworte:	Asymptotic methods Asymptotic properties Comparative analysis Comparative studies comparative study Competitors Density Distribution-freeness Estimation Estimators Experiments Innovations Local asymptotic normality mathematical theory Measure transportation Multivariate ranks Parameter estimation Quasi-likelihood estimation Regression analysis Skew innovation density statistical analysis Statistical methods Statistics
ISSN:	0162-1459, 1537-274X, 1537-274X
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!