Center-outward R-estimation for semiparametric VARMA models

Marc Hallin,Davide La Vecchia,Hang Liu

Center-outward R-estimation for semiparametric VARMA models

2020

Marc Hallin
Davide La Vecchia
Hang Liu

We propose a new class of R-estimators for semiparametric VARMA models in which the innovation density plays the role of the nuisance parameter. Our estimators are based on the novel concepts of mu...

Keywords:

Multivariate statistics
Mathematics
Estimator
Applied mathematics
Nuisance parameter
Robustness (computer science)
Monte Carlo method
Local asymptotic normality
Gaussian
Asymptotic distribution

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