Time series: theory and methods
Time series: theory and methods
Asymptotic methods in statistical theory
Asymptotic methods in statistical theory
Asymptotically most powerful rank tests for multivariate randomness against serial dependence
Journal of Multivariate Analysis
Time series analysis via rank order theory: signed-rank tests for ARMA models
Journal of Multivariate Analysis
Aligned rank tests for linear models with autocorrelated error terms
Journal of Multivariate Analysis
A Chernoff-Savage result for shape: on the non-admissibility of pseudo-Gaussian methods
Journal of Multivariate Analysis
Optimal rank-based tests for block exogeneity in vector autoregressions
Journal of Multivariate Analysis
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We develop optimal rank-based procedures for testing affine-invariant linear hypotheses on the parameters of a multivariate general linear model with elliptical VARMA errors. We propose a class of optimal procedures that are based either on residual (pseudo-)Mahalanobis signs and ranks, or on absolute interdirections and lift-interdirection ranks, i.e., on hyperplane-based signs and ranks. The Mahalanobis versions of these procedures are strictly affine-invariant, while the hyperplane-based ones are asymptotically affine-invariant. Both versions generalize the univariate signed rank procedures proposed by Hallin and Puri (J. Multivar. Anal. 50 (1994) 175), and are locally asymptotically most stringent under correctly specified radial densities. Their AREs with respect to Gaussian procedures are shown to be convex linear combinations of the AREs obtained in Hallin and Paindaveine (Ann. Statist. 30 (2002) 1103; Bernoulli 8 (2002) 787) for the pure location and purely serial models, respectively. The resulting test statistics are provided under closed form for several important particular cases, including multivariate Durbin-Watson tests, VARMA order identification tests, etc. The key technical result is a multivariate asymptotic linearity result proved in Hallin and Paindaveine (Asymptotic linearity of serial and nonserial multivariate signed rank statistics, submitted).