Rank-based partial autocorrelations are not asymptotically distribution-free
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.
Year of publication: |
2000
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Authors: | Garel, Bernard ; Hallin, Marc |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 47.2000, 3, p. 219-227
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Publisher: |
Elsevier |
Keywords: | Time series Autoregressive model Rank test Order identification Robust methods |
Saved in:
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