Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests

Šárka Hudecová and Miroslav Šiman

Journal of Multivariate Analysis, 2024, vol. 204, issue C

Abstract: The article proposes and justifies an optimal rank-based portmanteau test of multivariate elliptical strict white noise against multivariate serial dependence. It is based on new stochastic hyperplane-based ranks that are simpler and easier to compute than other usable hyperplane-based competitors and still share with them many good properties such as their distribution-free nature, affine invariance, efficiency, robustness and weak moment assumptions. The finite-sample performance of the portmanteau test is illustrated empirically in a small Monte Carlo simulation study.

Keywords: Hyperplane; Interdirection; Lift-interdirection; Multivariate rank; Portmanteau test; Robustness; Signed-rank test (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2024.105344

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