Abstract Irrespective of the statistical model under study, the derivation of limits,in the Le Cam sense, of sequences of local experiments (see [7]-[10]) oftenfollows along very similar lines, essentially involving differentiability in quadraticmean of square roots of (conditional) densities....

This paper introduces rank-based tests for the cointegrating rank in an Error CorrectionModel with i.i.d. elliptical innovations. The tests are asymptotically distribution-free,and their validity does not depend on the actual distribution of the innovations. Thisresult holds despite the fact...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...

We consider the problem of estimating the marginals in the case where there is knowledge on the copula. If the copula is smooth, it is known that it is possible to improve on the empirical distribution functions: optimal estimators still have a rate of convergence n-1/2, but a smaller asymptotic...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which need not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite-sample size,...

For multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically effi cient estimator is proposed for the Euclidean copula parameter. This estimator is defined as a one-step update of a rank-based pilot estimator in the direction...

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations,...

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations,...

This thesis consists of two parts. The first part contributes statistical methodology for nonnegative integer-valued time series. The second part of this thesis consists of two chapters. One chapter is concerned with the development of efficient estimators of the marginal distribution functions...