Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599641" target="_blank" >RIV/67985556:_____/24:00599641 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/24:10488934
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0047259X24000514?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0047259X24000514?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jmva.2024.105344" target="_blank" >10.1016/j.jmva.2024.105344</a>

Result language
angličtina
Original language name
Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
Original language description
The article proposes and justifies an optimal rank-based portmanteau test of multivariate elliptical strict white noise against multivariate serial dependence. It is based on new stochastic hyperplane-based ranks that are simpler and easier to compute than other usable hyperplane-based competitors and still share with them many good properties such as their distribution-free nature, affine invariance, efficiency, robustness and weak moment assumptions. The finite-sample performance of the portmanteau test is illustrated empirically in a small Monte Carlo simulation study.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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