0599641 20250213151403.720241021235959.9 85199140169 001280520700001 10.1016/j.jmva.2024.105344 14 s. P cav_un_epca*02570440047-259X204Elsevier hyperplane interdirection lift-interdirection multivariate rank portmanteau test robustness signed-rank test cav_un_auth*0385823 Hudecová Š. CZ cav_un_auth*0266474 Šiman Miroslav UTIA-B Stochastická informatika Department of Stochastic Informatics SI SI Department of Stochastic Informatics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. https://library.utia.cas.cz/separaty/2024/SI/siman-0599641.pdf https://www.sciencedirect.com/science/article/pii/S0047259X24000514?via%3Dihub GA21-05325S GA ČR cav_un_auth*0409039 GF22-01639K GA ČR CZ cav_un_auth*0440862 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. WOS BA 10000 10100 10103 2025 RVO:67985556 https://hdl.handle.net/11104/0357106 cav_un_auth*0296001 Univerzita Karlova v Praze, Matematicko-fyzikální fakulta MFF UK CZ S 105344 C STATISTICS&PROBABILITY 1.7 0.5 14.4 0.00416 0.904 5814 93 1.009 39.05 2.03 701 Q1 1.600 93 Q2 73 0.79 Q1 72.5 2024 85199140169 SCOPUS PUBMED 001280520700001 WOS cav_un_epca*0257044 Journal of Multivariate Analysis 0047-259X 1095-7243 Roč. 204 č. 1 2024 Elsevier