The repository contains R codes for producing results in the working paper "Center-Outward R-Estimation for Semiparametric VARMA Models", 2020, Marc Hallin, Davide La Vecchia and Hang Liu. More specifically, the codes can be used for computing center-outward rank- and sign-based central sequences (based on the van der Waerden, Spearman and sign scores) for VAR(1) models. The codes also give examples showing how to obtain the QMLE and R-estimators under various error distributions, how to compute bias and MSE and generate their boxplots.
@ Hang Liu