Zobrazeno 1 - 10
of 624
pro vyhledávání: '"Hallin, Marc"'
Autor:
Goto, Yuichi, Hallin, Marc
Time-reversibility is a crucial feature of many time series models, while time-irreversibility is the rule rather than the exception in real-life data. Testing the null hypothesis of time-reversibilty, therefore, should be an important step prelimina
Externí odkaz:
http://arxiv.org/abs/2411.11248
Autor:
Hallin, Marc, Liu, Hang
Increased attention has been given recently to the statistical analysis of variables with values on nonlinear manifolds. A natural but nontrivial problem in that context is the definition of quantile concepts. We are proposing a solution for compact
Externí odkaz:
http://arxiv.org/abs/2410.15711
The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series
Autor:
Barigozzi, Matteo, Hallin, Marc
Several fundamental and closely interconnected issues related to factor models are reviewed and discussed: dynamic versus static loadings, rate-strong versus rate-weak factors, the concept of weakly common component recently introduced by Gersing et
Externí odkaz:
http://arxiv.org/abs/2407.10653
Consistent Distribution Free Affine Invariant Tests for the Validity of Independent Component Models
We propose a family of tests of the validity of the assumptions underlying independent component analysis methods. The tests are formulated as L2-type procedures based on characteristic functions and involve weights; a proper choice of these weights
Externí odkaz:
http://arxiv.org/abs/2404.07632
Autor:
Hallin, Marc, Konen, Dimitri
Quantiles are a fundamental concept in probability and theoretical statistics and a daily tool in their applications. While the univariate concept of quantiles is quite clear and well understood, its multivariate extension is more problematic. After
Externí odkaz:
http://arxiv.org/abs/2401.02499
Autor:
Barigozzi, Matteo, Hallin, Marc
Dynamic factor models have been developed out of the need of analyzing and forecasting time series in increasingly high dimensions. While mathematical statisticians faced with inference problems in high-dimensional observation spaces were focusing on
Externí odkaz:
http://arxiv.org/abs/2310.17278
The classical concept of bounded completeness and its relation to sufficiency and ancillarity play a fundamental role in unbiased estimation, unbiased testing, and the validity of inference in the presence of nuisance parameters. In this short note,
Externí odkaz:
http://arxiv.org/abs/2308.00895
The contribution of this work is twofold. The first part deals with a Hilbert-space version of McCann's celebrated result on the existence and uniqueness of monotone measure-preserving maps: given two probability measures $\rm P$ and $\rm Q$ on a sep
Externí odkaz:
http://arxiv.org/abs/2305.11751
This paper proposes various nonparametric tools based on measure transportation for directional data. We use optimal transports to define new notions of distribution and quantile functions on the hypersphere, with meaningful quantile contours and reg
Externí odkaz:
http://arxiv.org/abs/2212.10345
Autor:
Hallin, Marc, Mordant, Gilles
Based on measure transportation ideas and the related concepts of center-outward quantile functions, we propose multiple-output center-outward generalizations of the traditional univariate concepts of Lorenz and concentration functions, and the relat
Externí odkaz:
http://arxiv.org/abs/2211.10822