About the Book
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.
Table of 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.
About the Author :
Matteo Barigozzi is Professor at the Department of Economics, University of Bologna, Italy. His work is published in a variety of journals, including the Journal of the American Statistical Association, The Review of Economics and Statistics, the Journal of Econometrics, the Journal of Business & Economic Statistics, and the Journal of the Royal Statistical Society: Series C. His research focuses on high-dimensional factor models for time series, macroeconometrics, and financial econometrics.
Siegfried Hörmann is Professor at the Institute of Statistics, Graz University of Technology, Austria. His work is published in a variety of journals, including Bernoulli, The Annals of Probability, The Annals of Statistics, the Journal of the American Statistical Association, and the Journal of the Royal Statistical Society: Series B. His research focuses on functional data analysis and time series.
Davy Paindaveine is Professor at ECARES and at the Department of Mathematics, Université libre de Bruxelles, Belgium. Most of his work is published in statistics and probability journals, such as Bernoulli, The Annals of Statistics, the Journal of the American Statistical Association, Probability Theory and Related Fields and Biometrika. His research interests are mainly related to asymptotic statistics and semiparametric/nonparametric inference.
