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Semiparametrically Efficient Inference Based on Signed Ranks in Symmetric Independent Component Models

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  • Sirkku Pauliina Ilmonen
  • Davy Paindaveine

Abstract

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  • Sirkku Pauliina Ilmonen & Davy Paindaveine, 2011. "Semiparametrically Efficient Inference Based on Signed Ranks in Symmetric Independent Component Models," Working Papers ECARES ECARES 2011-003, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/76045
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    Citations

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    Cited by:

    1. Marc Hallin & Chintan Mehta, 2015. "R -Estimation for Asymmetric Independent Component Analysis," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 218-232, March.
    2. Davy Paindaveine & Germain Van Bever, 2017. "Halfspace Depths for Scatter, Concentration and Shape Matrices," Working Papers ECARES ECARES 2017-19, ULB -- Universite Libre de Bruxelles.
    3. Davy Paindaveine & Thomas Verdebout, 2011. "Rank Tests for Elliptical Graphical Modeling," Working Papers ECARES ECARES 2011-039, ULB -- Universite Libre de Bruxelles.
    4. Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis, 2016. "Separation of Uncorrelated Stationary time series using Autocovariance Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 337-354, May.
    5. Paindaveine, Davy & Van Bever, Germain, 2014. "Inference on the shape of elliptical distributions based on the MCD," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 125-144.
    6. Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2017. "Identification and estimation of non-Gaussian structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 196(2), pages 288-304.

    More about this item

    Keywords

    Independent component analysis; Invariance principle; Local asymptotic normality; Rank-based inference; Semiparametric efficiency; Signed ranks;

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