Time series analysis via rank order theory: Signed-rank tests for ARMA models

DOI10.1016/0047-259X(91)90002-JzbMath0751.62041MaRDI QIDQ1182743

Marc Hallin, Madan Lal Puri

Publication date: 28 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

invarianceturning pointARMA modelsscore functionasymptotic relative efficienciesnormal theoryCauchy density\(f\)-rank autocorrelation coefficientsasymptotically locally optimal testsFisher-Yates testslinear, serial signed-rank statisticrun test statisticsruns up and down statisticSpearman-Wald-Wolfowitz rank serial correlation coefficienttime series observationsvan der Waerden type testsWilcoxon type tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (20)

GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS ⋮ Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Robustness of sign tests in autoregression ⋮ Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one ⋮ Local robustness of sign tests in AR(1) against outliers ⋮ Rank-based tests for autoregressive against bilinear serial dependence ⋮ Rank-based partial aurocorrelations are not asymptotically distribution-free ⋮ Simple exact bounds for distributions of linear signed rank statistics ⋮ Optimal rank-based tests against first-order superdiagonal bilinear dependence ⋮ Some asymptotic results for a broad class of nonparametric statistics ⋮ Generalized runs tests for heteroscedastic time series ⋮ A unified and elementary proof of serial and nonserial, univariate and multivariate, Chernoff--Savage results ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors ⋮ Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity ⋮ Multivariate signed-rank tests in vector autoregressive order identification ⋮ A conversation with Marc Hallin ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form ⋮ A Smooth Block Bootstrap for Statistical Functionals and Time Series ⋮ The split-up algorithm: a fast symbolic method for computing p-values of distribution-free statistics ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

Cites Work

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