Search Results

Subjectively mixed strategies: the public event case,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1977)

Méthodes statistiques de construction de tarifs,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1977)

Mixed autoregressive-moving average multivariate processes with time-dependent coefficients,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1978)

Addendum to Invertibility and generalized invertibility,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1981)

Invertibility and generalized invertibility of time-series models,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1980)

Spectral factorization of nonstationary moving average processes,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1984)

Band strategies: the random walk of reserves,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1978)

Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1986)

Rank tests for time-series analysis: a bibliographical survey,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1991)

Moving average models for time-dependent autocovariance functions,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1982)

Asymptotic influence of initial values on parametric and rank-based measures of residual autocorrelation: proceedings of the colloque de mathématiques appliquées, April 1993, Oujda,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1994)

The theoretical model-building problem for nonstationary moving average processes,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1983)

From premium calculation to premium rating,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1985)

Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1986)

On the Pitman nonadmissibility of correlogram-based time series methods,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1994)

Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (2007)

Fractions continuées matricielles et matrices-bandes définies positives infinies,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1987)

Nonstationary second-order moving average processes II: model-building and invertibility,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1983)

Eléments de la théorie asymptotique des expériences statistiques,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1996)

Nonstationary first-order moving average processes: the model-building problem,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1981)

Tests sans biais, tests de permutation, tests invariants, tests de rangs,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1996)

Nonstationary second-order moving average processes,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1982)

Les séquences généralisées, outil pour l'analyse des séries hétéroscédastiques? conférence prononcée à l'occasion de la remise du prix du statisticien d'expression française,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1994)

Tests de rangs et tests de rangs signés pour le modèle linéaire général et les modèles autorégressifs,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1996)

Chernoff-Savage theorems, contiguity, differentiability in quadratic mean, Hoeffding's U statistics, Lebesgue decomposition, Le Cam's first lemma, Le Cam's third lemma, local asymptotic mixed normality, local asymptotic normality, oP and OP notation, rank autocorrelation coefficients, serial rank statistics, U-statistics,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (2002)

Rank tests,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (2001)

Modèles non stationnaires-Séries univariées et multivariées,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1984)

Modèles non stationnaires-Séries univariées et multivariées,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1988)

Une propriété des opérateurs moyenne-mobile: mélanges offerts au Professeur P.P. Gillis à l'occasion de son 70e anniversaire,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1982)

Stratégies subjectivement mixtes,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1973)

Modèles non inversibles de séries chronologiques: comptes rendus du colloque Processus aléatoires et problèmes de prévision, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1980,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1980)

Jeux de survie économique et théorie moderne du risque,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1973)

Jeux à information incomplète,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1972)

Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1977)

Jeux de marchandage et fonctions d'utilité multidimensionnelles: comptes rendus du colloque Aide à la décision et jeux de stratégies, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1979,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1980)

Subjectively mixed strategies - The public event case,
Marc Hallin, from ULB -- Universite Libre de Bruxelles (1976)

Registered author: Marc Hallin

A Berry-Ess\'een Theorem for Serial Rank Statistics,
Marc Hallin and K. Rifi, from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995)

Optimal Tests of Noncorrelation Between Multivariate Time Series,
Marc Hallin and Abdessamad Saidi, in Journal of the American Statistical Association (2007)

Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches,
Mohamed Bentarzi and Marc Hallin, in Econometric Theory (1996)

Dynamic factors in the presence of blocks,
Marc Hallin and Roman Liska, in Journal of Econometrics (2011)
Keywords: Panel data High dimensional time series data Dynamic factor model Dynamic principal components

Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach,
Marc Hallin and Carlos Trucíos, in Econometrics and Statistics (2023)
Keywords: Conditional covariance; High-dimensional time series; Large panels; Risk measures; Volatility;

Factor models in high-dimensional time series—A time-domain approach,
Marc Hallin and Marco Lippi, in Stochastic Processes and their Applications (2013)
Keywords: Time series; High dimension; Factor model; Dynamic eigenvalue; Dynamic eigenvector; Dynamic principal component; Spectral density; Panel data;

Rank-based partial autocorrelations are not asymptotically distribution-free,
Bernard Garel and Marc Hallin, in Statistics & Probability Letters (2000)
Keywords: Time series Autoregressive model Rank test Order identification Robust methods

Elliptical multiple-output quantile regression and convex optimization,
Marc Hallin and Miroslav Šiman, in Statistics & Probability Letters (2016)
Keywords: Quantile regression; Elliptical quantile; Multivariate quantile; Multiple-output regression;

Aligned Rank tests for Linear Models with Autocorrelated Error Terms,
Marc Hallin and L.M. Puri, from Universite Libre de Bruxelles - C.E.M.E. (1992)
Keywords: economic models ; econometrics

Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend,
B. Garel and Marc Hallin, from Universite Libre de Bruxelles - C.E.M.E. (1992)
Keywords: econometrics ; economic models

New Book Review Editor for the International Statistical Review,
Marc Hallin and Vijay Nair, in International Statistical Review (2013)

Editors’ Note,
Marc Hallin and Vijay Nair, in International Statistical Review (2012)

Editors’ Note,
Marc Hallin and Vijay Nair, in International Statistical Review (2013)

Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series,
Marc Hallin and Abdessamad Saidi, in Journal of Time Series Analysis (2005)

Optimal tests for homogeneity of covariance, scale, and shape,
Marc Hallin and Davy Paindaveine, in Journal of Multivariate Analysis (2009)
Keywords: 62M15 62G35 Elliptical densities Homogeneity of covariances Local asymptotic normality Locally asymptotically most stringent tests Multivariate analysis of variance

Determining the Number of Factors in the General Dynamic Factor Model,
Marc Hallin and Roman Liska, in Journal of the American Statistical Association (2007)

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting,
Mario Forni and Marc Hallin, from Society for Computational Economics (2003)
Keywords: Factor models, Forecsting, Business cycle

Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,
Matteo Barigozzi and Marc Hallin, from arXiv.org (2016)

Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,
Matteo Barigozzi and Marc Hallin, from arXiv.org (2019)

Dynamic Factor Models: a Genealogy,
Matteo Barigozzi and Marc Hallin, from arXiv.org (2024)

Generalized dynamic factor models and volatilities: recovering the market volatility shocks,
Matteo Barigozzi and Marc Hallin, from London School of Economics and Political Science, LSE Library (2015)
Keywords: Volatility; Dynamic Factor Models; Block Structure

Generalized dynamic factor models and volatilities estimation and forecasting,
Matteo Barigozzi and Marc Hallin, from London School of Economics and Political Science, LSE Library (2017)
Keywords: volatility; dynamic factor models; GARCH models

A network analysis of the volatility of high-dimensionalfinancial series,
Matteo Barigozzi and Marc Hallin, from London School of Economics and Political Science, LSE Library (2017)
Keywords: dynamic factor models; sparse autoregression models; volatility; systemic risk; Standard & Poor’s 100 index

Generalized dynamic factor models and volatilities: recovering the market volatility shocks,
Matteo Barigozzi and Marc Hallin, in Econometrics Journal (2016)

A network analysis of the volatility of high dimensional financial series,
Matteo Barigozzi and Marc Hallin, in Journal of the Royal Statistical Society Series C (2017)

Generalized dynamic factor models and volatilities: estimation and forecasting,
Matteo Barigozzi and Marc Hallin, in Journal of Econometrics (2017)
Keywords: Volatility; Dynamic factor models; GARCH models; High-dimensional time series;

Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals,
Matteo Barigozzi and Marc Hallin, in Journal of Econometrics (2020)
Keywords: Volatility; Dynamic factor models; Prediction intervals; GARCH;

Parametric and semiparametric inference for shape: the role of the scale functional,
Marc Hallin and Paindaveine Davy, in Statistics & Risk Modeling (2006)
Keywords: elliptical densities, shape matrices, local asymptotic normality, efficiency

R -Estimation for Asymmetric Independent Component Analysis,
Marc Hallin and Chintan Mehta, in Journal of the American Statistical Association (2015)

Rank Tests for Time Series Analysis, A Survey,
Marc Hallin and M.L. Puri, from Universite Libre de Bruxelles - C.E.M.E. (1992)
Keywords: time series ; econometrics

Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors,
Marc Hallin and Davy Paindaveine, in Journal of Multivariate Analysis (2005)
Keywords: Multivariate ranks and signs Affine-invariant inference VARMA models

ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS,
Mohamed Bentarzi and Marc Hallin, in Journal of Time Series Analysis (1994)

Adaptive Estimation of the Lag of a Long–memory Process,
Marc Hallin and Abdeslam Serroukh, in Statistical Inference for Stochastic Processes (1998)
Keywords: AMS 1980 subject classification: 62G10, 62M10., time series, long memory process, adaptive estimation, local asymptotic normality, locally asymptotically minimax estimator,

Foreword from the Editors,
Marc Hallin and Yury Kutoyants, in Statistical Inference for Stochastic Processes (2017)

Foreword from the editors…,
Marc Hallin and Yury Kutoyants, in Statistical Inference for Stochastic Processes (2018)

A Berry-Esséen Theorem for Serial Rank Statistics,
Marc Hallin and Khalid Rifi, in Annals of the Institute of Statistical Mathematics (1997)
Keywords: Berry-Esséen bounds, serial rank statistics, time series,

Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation,
Marc Hallin and Lanh Tran, in Annals of the Institute of Statistical Mathematics (1996)
Keywords: Density estimation, linear process, kernel, bandwidth, mean square error,

Local asymptotic normality of multivariate ARMA processes with a linear trend,
Bernard Garel and Marc Hallin, in Annals of the Institute of Statistical Mathematics (1995)
Keywords: Multivariate linear model, multivariate ARMA process, local asymptotic normality,

The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series,
Matteo Barigozzi and Marc Hallin, from arXiv.org (2024)

Dynamic Factors in the Presence of Block Structure,
Marc Hallin and Roman Liska, from European University Institute (2008)
Keywords: Panel data; Time series; High dimensional data; Dynamic factor model; Business cycle; Block specific factors; Dynamic principal components; Information criterion.

Factor Models in High-Dimensional Time Series: A Time-Domain Approach,
Marc Hallin and Marco Lippi, from ULB -- Universite Libre de Bruxelles (2013)

R-Estimation for Asymmetric Independent Component Analysis,
Marc Hallin and Chintan Mehta, from ULB -- Universite Libre de Bruxelles (2013)
Keywords: independent component analysis (ICA); local asymptotic normality (LAN); ranks; R-Estimation; Robustness

Dynamic Factors in the Presence of Block Structure,
Marc Hallin and Roman Liska, from ULB -- Universite Libre de Bruxelles (2008)
Keywords: Panel data; Time series; High dimensional data; Dynamic factor model; Business cycle; Block specific factors; Dynamic principal components; Information criterion

Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting,
Matteo Barigozzi and Marc Hallin, from ULB -- Universite Libre de Bruxelles (2015)
Keywords: volatility; dynamic factor models; GARCH models

Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks,
Matteo Barigozzi and Marc Hallin, from ULB -- Universite Libre de Bruxelles (2014)
Keywords: volatility; dynamic factor models; block structure

Multiple-Output Quantile Regression,
Marc Hallin and Miroslav Šiman, from ULB -- Universite Libre de Bruxelles (2016)

Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,
Matteo Barigozzi and Marc Hallin, from ULB -- Universite Libre de Bruxelles (2015)
Keywords: Time Series; Dynamic Factor Models; Network Analysis; Volatility; Systemic Risk

Elliptical Multiple Output Quantile Regression and Convex Optimization,
Marc Hallin and Miroslav Šiman, from ULB -- Universite Libre de Bruxelles (2015)

Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals,
Matteo Barigozzi and Marc Hallin, from ULB -- Universite Libre de Bruxelles (2018)
Keywords: Volatility, Dynamic Factor Models, Prediction intervals, GARCH

Center-outward Rank- and Sign-based VARMA Portmanteau Tests,
Marc Hallin and Hang Liu, from ULB -- Universite Libre de Bruxelles (2022)
Keywords: Multivariate ranks and signs, Measure transportation, Distributionfreeness, Le Cam’s asymptotic theory, Multivariate time series

On the Finite-Sample Performance of Measure Transportation-Based Multivariate Rank Tests,
Marc Hallin and Gilles Mordant, from ULB -- Universite Libre de Bruxelles (2021)
Keywords: Ranks; Time series; Frequency domain; Time-reversibility

Center-OutwardMultiple-Output Lorenz Curves and Gini Indices a measure transportation approach,
Marc Hallin and Gilles Mordant, from ULB -- Universite Libre de Bruxelles (2022)
Keywords: Center-outward quantiles; Measure transportation; Concentration indices; Inequality measurement; Definition of “middle class”

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach,
Marc Hallin and Carlos Trucíos, from ULB -- Universite Libre de Bruxelles (2020)
Keywords: conditional covariance; high-dimensional time series; large panels; risk measures; volatility