论文标题
中心排行榜和基于标志的Varma Portmanteau测试：Chitturi，Hosking和Li- Clocod重新审视
Center-outward Rank- and Sign-based VARMA Portmanteau Tests: Chitturi, Hosking, and Li--McLeod revisited
论文作者
论文摘要
从Le Cam的角度重新审视了Chitturi，Hosking和Li and McLeod的伪高斯Portmanteau测试，从Le Cam的角度重新审视，提供了对多变量Portmanteau测试统计量的渐近行为的精确，更严格的描述，这取决于Ebtermension $ d $ $ d $ $ $ $ $ $ $ $ $ $ $ M，以及数字$ $ m，$ m的$ m，$ m。 时期。然后，基于最近开发的中心级别等级和迹象的概念（Hallin，Del Barrio，Cuesta-Albertos和Matr \'an，{\ IT {\ IT Statistics Annals} 49，1139---1165，2165，2021），基于多元和标志的基于符号的Portmanteau Test STATISISTION的一类，均可及以下是一系列基于多个的Portmanteau portmanteau statistical and the the the Under audl and the be null beessis for an ull aull and the。由渐近卡方变量近似。这些测试的渐近特性是得出的。模拟证明了它们比古典伪高斯对应物的优势。
The pseudo-Gaussian portmanteau tests of Chitturi, Hosking, and Li and McLeod for VARMA models are revisited from a Le Cam perspective, providing a precise and more rigorous description of the asymptotic behavior of the multivariate portmanteau test statistic, which depends on the dimension $d$ of the observations, the number $m$ of lags involved, and the length $n$ of the observation period. Then, based on the concepts of center-outward ranks and signs recently developed (Hallin, del Barrio, Cuesta-Albertos, and Matr\' an, {\it Annals of Statistics} 49, 1139--1165, 2021), a class of multivariate rank- and sign-based portmanteau test statistics is proposed which, under the null hypothesis and under a broad family of innovation densities, can be approximated by an asymptotically chi-square variable. The asymptotic properties of these tests are derived; simulations demonstrate their advantages over their classical pseudo-Gaussian counterpart.
