| bibtype |
J -
Journal Article
|
| ARLID |
0599641 |
| utime |
20250213151403.7 |
| mtime |
20241021235959.9 |
| SCOPUS |
85199140169 |
| WOS |
001280520700001 |
| DOI |
10.1016/j.jmva.2024.105344 |
| title
(primary) (eng) |
Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests |
| specification |
| page_count |
14 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257044 |
| ISSN |
0047-259X |
| title
|
Journal of Multivariate Analysis |
| volume_id |
204 |
| publisher |
|
|
| keyword |
hyperplane |
| keyword |
interdirection |
| keyword |
lift-interdirection |
| keyword |
multivariate rank |
| keyword |
portmanteau test |
| keyword |
robustness |
| keyword |
signed-rank test |
| author
(primary) |
| ARLID |
cav_un_auth*0385823 |
| name1 |
Hudecová |
| name2 |
Š. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0266474 |
| name1 |
Šiman |
| name2 |
Miroslav |
| institution |
UTIA-B |
| full_dept (cz) |
Stochastická informatika |
| full_dept |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department |
SI |
| full_dept |
Department of Stochastic Informatics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA21-05325S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0409039 |
|
| project |
| project_id |
GF22-01639K |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0440862 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
BA |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2025 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357106 |
| cooperation |
| ARLID |
cav_un_auth*0296001 |
| name |
Univerzita Karlova v Praze, Matematicko-fyzikální fakulta |
| institution |
MFF UK |
| country |
CZ |
|
| confidential |
S |
| article_num |
105344 |
| mrcbC91 |
C |
| mrcbT16-e |
STATISTICS&PROBABILITY |
| mrcbT16-f |
1.7 |
| mrcbT16-g |
0.5 |
| mrcbT16-h |
14.4 |
| mrcbT16-i |
0.00416 |
| mrcbT16-j |
0.904 |
| mrcbT16-k |
5814 |
| mrcbT16-q |
93 |
| mrcbT16-s |
1.009 |
| mrcbT16-y |
39.05 |
| mrcbT16-x |
2.03 |
| mrcbT16-3 |
701 |
| mrcbT16-4 |
Q1 |
| mrcbT16-5 |
1.600 |
| mrcbT16-6 |
93 |
| mrcbT16-7 |
Q2 |
| mrcbT16-C |
72.2 |
| mrcbT16-M |
0.79 |
| mrcbT16-N |
Q1 |
| mrcbT16-P |
72.2 |
| arlyear |
2024 |
| mrcbU14 |
85199140169 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001280520700001 WOS |
| mrcbU63 |
cav_un_epca*0257044 Journal of Multivariate Analysis 0047-259X 1095-7243 Roč. 204 č. 1 2024 Elsevier |
|