Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146218 | Journal of Multivariate Analysis | 2013 | 22 Pages |
Abstract
The aim of this paper is to construct a class of locally asymptotically most stringent (in the Le Cam sense) tests for independence between two sets of variables in the V AR models. These tests are based on multivariate ranks of distances and multivariate signs of the observations and are shown to be asymptotically distribution-free under very mild assumptions on the noise, which is obtained by applying a linear transformation to marginally spherical innovations. The class of tests derived is invariant with respect to the group of block affine transformations and asymptotically invariant with respect to the group of continuous monotone marginal radial transformations.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Maria Caterina Bramati,