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Local asymptotic normality of multivariate ARMA processes with a linear trend

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  • Bernard Garel
  • Marc Hallin

Abstract

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Suggested Citation

  • Bernard Garel & Marc Hallin, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
  • Handle: RePEc:spr:aistmt:v:47:y:1995:i:3:p:551-579
    DOI: 10.1007/BF00773401
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    References listed on IDEAS

    as
    1. 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.
    2. Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
    3. Marc Hallin & Claude Lefèvre & Madan Lal Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    2. Bramati, Maria Caterina, 2013. "Optimal rank-based tests for block exogeneity in vector autoregressions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 141-162.
    3. Hallin, Marc & Paindaveine, Davy, 2005. "Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 122-163, March.
    4. Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
    5. repec:bla:jorssb:v:79:y:2017:i:2:p:507-524 is not listed on IDEAS

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