Recent Advances in Econometrics and Statistics : Festschrift in Honour of Marc Hallin / edited by Matteo Barigozzi, Siegfried Hörmann, Davy Paindaveine.

Format:

Book

Author/Creator:

Barigozzi, Matteo.

Contributor:

Hörmann, Siegfried.

Paindaveine, Davy.

Series:

Mathematics and Statistics Series

Language:

English

Subjects (All):

Statistics.

Econometrics.

Time-series analysis.

Mathematical statistics.

Statistical Theory and Methods.

Time Series Analysis.

Mathematical Statistics.

Local Subjects:

Statistical Theory and Methods.

Econometrics.

Time Series Analysis.

Mathematical Statistics.

Physical Description:

1 online resource (617 pages)

Edition:

1st ed. 2024.

Place of Publication:

Cham : Springer Nature Switzerland : Imprint: Springer, 2024.

Summary:

This volume presents a unique collection of original research contributions by leading experts in several modern fields of econometrics and statistics, including high-dimensional, nonparametric and robust statistics, time series analysis and factor models. Published in honour of Marc Hallin on the occasion of his 75th birthday, it puts emphasis on the fundamental and applied topics he has significantly contributed to. The volume starts with an annotated bibliography that mainly catalogues his contributions to distribution-free rank-based and quantile-oriented inference and to time series analysis. The main part of the book collects 29 authoritative contributions by some of Marc Hallin’s main collaborators, organized into six parts: rank- and depth-based methods, asymptotic statistics, quantile regression, econometrics, statistical modelling and related topics, and high-dimensional and non-Euclidean data.

Contents:

- Marc Hallin — A commented bibliography (from 1972 to 2023)

Part 1: Rank- and depth-based methods

Daniel Hlubinka, Šárka Hudecová: One-sample location tests based on center-outward signs and ranks

Jyrki Möttönen, Klaus Nordhausen, Hannu Oja, Una Radojicic: The asymptotic properties of the one-sample spatial rank methods

Gaspard Bernard, Thomas Verdebout: Power enhancement for testing the equality of shape matrices eigenvalues under ellipticity

Germain Van Bever, Gaëtan Louvet: The influence function of scatter halfspace depth

Ramon van den Akker, Bas J.M. Werker, Bo Zhou: Hybrid rank-based panel unit root tests

Jean-Jacques Droesbeke, Catherine Vermandele: About the relationship between mean and median

Part 2: Asymptotic statistics

Christophe Ley, Andreas Anastasiou: How to build optimal tests for normality under possibly singular Fisher information?

Jean-Marie Dufour, Masaya Takano: Generalized C(alpha) tests with nonstandard convergence rates

Stéphane Lhaut, Johan Segers: An asymptotic expansion of the empirical angular measure for bivariate extremal dependence

Paul Deheuvels: Uniform in bandwidth nonparametric kernel estimators of lifetime functionals under random censorship

Part 3: Quantile regression

Jana Jureckova: The process induced by slope component of alpha-regression quantile

Miroslav Šiman: Testing axial symmetry by means of directional quantile regression coefficients

Manon Felix, Davide La Vecchia, Hang Liu, Yiming Ma: Some novel aspects of quantile regression: local stationarity, random forests and optimal transportation

Richard K. Crump, Miro Everaert, Domenico Giannone, C. Sean Hundtofte: Changing risk-return profiles

Part 4: Econometrics

Marie Hušková, Charl Pretorius: Detection of changes in panel data models with stationary regressors

Mario Forni, Marco Lippi: Approximating singular by means of non-singular structural VARs

Pilar Poncela, Esther Ruiz: Common factors and common shocks: A tale of three (close) signal extraction procedures

Pedro Galeano, Daniel Peña: Detecting outliers in high dimensional time series by dynamic factor models

Alexei Onatski: The Hallin-Liska criterion through the lens of the random matrix theory

Alice Brogniaux, Catherine Dehon, Philippe Emplit, Claudia Toma: Gender bias in closed-ended questions with negative points

Part 5: Statistical Modelling and related topics

Guy Mélard: Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation

Rong Peng, Zudi Lu, Fangsheng Ge: On a location-wide semiparametric analysis of spatio-temporal dynamics of the COVID-19 daily new cases in the UK

F. Thomas Bruss: Models for studying interactions between human populations and related problems of optimal transport

Christine De Mol: Multiplicative algorithms for density combination and deconvolution

Bruno Ebner, Yvik Swan: Independent additive weighted bias distributions and associated goodness-of-fit tests

Part 6: High-dimensional and Non-Euclidean data

Jianqing Fan, Zheng Tracy Ke, Koshiki Bose: Higher moment estimation for elliptically-distributed Data: Is it necessary to use a sledgehammer to crack an egg?

Holger Dette, Jiajun Tang: Pivotal inference for function-on-function linear regression via self-normalization

Adeline Fermanian, Jiawei Chang, Terry Lyons, Gérard Biau: The insertion method to invert the signature of a path

Yan Liu, Lan U, Masanobu Taniguchi: Semiparametric empirical likelihood for circular distributions.

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

3-031-61853-X

OCLC:

1467225953