8 citations · 8 across the 1 of their papers we have counts for
2 papers
math.ST2020★ 8 cited
Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
Marc Hallin, Davide La Vecchia, Hang Liu
We develop a class of tests for semiparametric vector autoregressive (VAR) models with unspecified innovation densities, based on the recent measure-transportation-based concepts o…
math.ST2019
Center-Outward R-Estimation for Semiparametric VARMA Models
Marc Hallin, Davide La Vecchia, Hang Liu
We propose a new class of R-estimators for semiparametric VARMA models in which the innovation density plays the role of the nuisance parameter. Our estimators are based on the nov…