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Rank-based partial autocorrelations are not asymptotically distribution-free

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  • Garel, Bernard
  • Hallin, Marc

Abstract

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, 175-237), rank-based partial autocorrelations unfortunately are not asymptotically distribution-free, and thus cannot be used for order-identification purposes.

Suggested Citation

  • Garel, Bernard & Hallin, Marc, 2000. "Rank-based partial autocorrelations are not asymptotically distribution-free," Statistics & Probability Letters, Elsevier, vol. 47(3), pages 219-227, April.
    • Handle: RePEc:eee:stapro:v:47:y:2000:i:3:p:219-227
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    References listed on IDEAS

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    1. Marc Hallin & Madan Lal Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
    2. Hallin, Marc & Puri, Madan L., 1991. "Time series analysis via rank order theory: Signed-rank tests for ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 1-29, October.
    3. Marc Hallin, 1994. "On the Pitman nonadmissibility of correlogram-based time series methods," ULB Institutional Repository 2013/2049, ULB -- Universite Libre de Bruxelles.
    4. Marc Hallin & Madan Lal Puri, 1988. "Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models," ULB Institutional Repository 2013/2013, ULB -- Universite Libre de Bruxelles.
    5. Hallin, M. & Puri, M. L., 1994. "Aligned Rank Tests for Linear Models with Autocorrelated Error Terms," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 175-237, August.
    6. Marc Hallin & Bernard Garel, 1999. "Rank-based AR order identification," ULB Institutional Repository 2013/2087, ULB -- Universite Libre de Bruxelles.
    7. Marc Hallin & Jean-François Ingenbleek & Madan Lal Puri, 1984. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2167, ULB -- Universite Libre de Bruxelles.
    8. Marc Hallin & Olivier Tribel, 2000. "The efficiency of some nonparametric competitors to correlogram-based methods," ULB Institutional Repository 2013/2159, ULB -- Universite Libre de Bruxelles.
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