252 citations · 1.3k across the 41 of their papers we have counts for
5 papers · 1 filter
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…
Fully distribution-free center-outward rank tests for multiple-output regression and MANOVA
Marc Hallin, Daniel Hlubinka, Šárka Hudecová
Extending rank-based inference to a multivariate setting such as multiple-output regression or MANOVA with unspecified d-dimensional error density has remained an open problem for…
On universally consistent and fully distribution-free rank tests of vector independence
Hongjian Shi, Marc Hallin, Mathias Drton +1
Rank correlations have found many innovative applications in the last decade. In particular, suitable rank correlations have been used for consistent tests of independence between…
Multivariate goodness-of-Fit tests based on Wasserstein distance
Marc Hallin, Gilles Mordant, Johan Segers
Goodness-of-fit tests based on the empirical Wasserstein distance are proposed for simple and composite null hypotheses involving general multivariate distributions. For group fami…
M-estimation in GARCH Models in the Absence of Higher-Order Moments
Marc Hallin, Hang Liu, Kanchan Mukherjee
We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asympto…