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20052008
most citedSemiparametrically efficient rank-based inference for shape I. optimal rank-based tests for sphericity

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math.ST2005

Rank-based optimal tests of the adequacy of an elliptic VARMA model

Marc Hallin, Davy Paindaveine

We are deriving optimal rank-based tests for the adequacy of a vector autoregressive-moving average (VARMA) model with elliptically contoured innovation density. These tests are ba…