Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors

By Marc Hallin, Davy Paindaveine. 2005

53 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/29e1101a177cb66640c4218b765fc9b68063d48c

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In Statistics and Probability

Citations in the corpus

Monge-Kantorovich Depth, Quantiles, Ranks and Signs (2014, background): “There, spherical contours with Pμ,I,g-probability contents τ coincide with the halfspace depth contours, and provide a natural definition of τ -quantile contours for Y , while RP (Y ), RP (Y )/‖RP (Y )‖ and ‖RP (Y )‖ play the roles of vector ranks, signs, and ranks, respectively ([21, 22, 23, 24, 25”
ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions (2013, background): “Theoretical analysis in low dimensions is provided by Hallin and Paindaveine (2002a, 2002b, 2004, 2005, 2006), Hallin (Oja); Hallin, Paindaveine, and Verdebout (2010, 2014), and some new extensions to high-dimensional settings are provided in Croux, Filzmoser, and Fritz (2013) and Feng and Liu…”
Distribution and quantile functions, ranks and signs in dimension d: A measure transportation approach (2021, methodology): “…and Paindaveine 2002a), k-sample location (Um and Randles 1998), serial dependence (Hallin and Paindaveine 2002b), linear models with VARMA errors (Hallin and Paindaveine 2004a, 2005a, 2006a), VAR order identification (Hallin and Paindaveine 2004b), shape (Hallin and Paindaveine 2006b; Hallin,…”
SEMIPARAMETRICALLY EFFICIENT RANK-BASED INFERENCE FOR SHAPE II. OPTIMAL R-ESTIMATION OF SHAPE (2006, unknown): “In such a context, robust inference methods, resisting arbitrarily heavy radial tails, are highly desirable and distribution-free rank-based methods naturally come into the picture (see [9, 10, 11, 12] for closely related results).”
OPTIMAL RANK-BASED TESTING FOR PRINCIPAL COMPONENTS (2010, methodology): “Although this powerful method has been used quite successfully in inference problems for elliptical families [Hallin and Paindaveine (2002, 2004, 2005, 2006a), Hallin, Oja and Paindaveine (2006) and Hallin and Paindaveine (2008a) for location, VARMA dependence, linear models, shape and scatter,…”
Rank-based optimal tests of the adequacy of an elliptic VARMA model (2004, methodology): “... specified values of the parameters; this is the aim of the present paper, which also works out the algebraic problems related with the singularity of information matrices; (ii) characterizing the class of linear hypotheses that are invariant under linear transformations, and for which affine-inv”
On Directional Regression for Dimension Reduction (2007, background): “The ( n 2 ) interdirections can be used to estimate the angles between any two points, leading to a multivariate and affine-invariant generalization of the sign test (see, e.g., Randles 1989; Hettmansperger and Oja 1994; Oja 1999; Hallin and Paindaveine 2002, 2005).”