Bernoulli

  • Bernoulli
  • Volume 8, Number 6 (2002), 787-815.

Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence

Marc Hallin and Davy Paindaveine

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Abstract

We propose a multivariate generalization of signed-rank tests for testing elliptically symmetric white noise against ARMA serial dependence. These tests are based on Randles's concept of interdirections and the ranks of pseudo-Mahalanobis distances. They are affine-invariant and asymptotically equivalent to strictly distribution-free statistics. Depending on the score function considered (van der Waerden, Laplace. $\ldots$), they allow for locally asymptotically maximin tests at selected densities (multivariate normal, multivariate double exponential, $\ldots$). Local powers and asymptotic relative efficiencies with respect to the Gaussian procedure are derived. We extend to the multivariate serial context the Chernoff--Savage result, showing that classical correlogram-based procedures are uniformly dominated by the van der Waerden version of our tests, so that correlogram methods are not admissible in the Pitman sense. We also prove an extension of the celebrated Hodges--Lehmann `.864 result', providing, for any fixed space dimension, the lower bound for the asymptotic relative efficiency of the proposed multivariate Spearman type tests with respect to the Gaussian tests. These asymptotic results are confirmed by a Monte Carlo investigation.

Article information

Source
Bernoulli, Volume 8, Number 6 (2002), 787-815.

Dates
First available in Project Euclid: 9 February 2004

Permanent link to this document
https://projecteuclid.org/euclid.bj/1076364806

Mathematical Reviews number (MathSciNet)
MR1963662

Zentralblatt MATH identifier
1018.62046

Keywords
affine invariance ARMA dependence asymptotic relative efficiency elliptical symmetry interdirections multivariate randomness multivariate white noise ranks

Citation

Hallin, Marc; Paindaveine, Davy. Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence. Bernoulli 8 (2002), no. 6, 787--815. https://projecteuclid.org/euclid.bj/1076364806


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