LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE

DOI10.1111/J.1467-9892.1987.TB00004.XzbMath0661.62091OpenAlexW1966391458MaRDI QIDQ3810746

Marc Hallin, Jean-Francois Ingenbleek, Madan Lal Puri

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00004.x

zbMATH Keywords

Laplacescore functionWilcoxonasymptotic relative efficienciesSpearmanasymptotically most powerfulcontiguous ARMA alternativeschi-square type testsrank tests for serial dependencequadratic rank testsasymptotically maximum most powerfulBox-Pierce portmanteau testlinear serial rank statisticnull hypothesis of randomnessrank portmanteau testsvan der Warden

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

Order statistics for nonstationary time series ⋮ Distribution-free tests against serial dependence: Signed or unsigned ranks? ⋮ Tests of independence and randomness based on the empirical copula process ⋮ Robustness of sign tests in autoregression ⋮ Local robustness of sign tests in AR(1) against outliers ⋮ Rank-based tests for autoregressive against bilinear serial dependence ⋮ Serial rank statistics for detection of changes. ⋮ LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE ⋮ Time series analysis via rank order theory: Signed-rank tests for ARMA models ⋮ Some asymptotic results for a broad class of nonparametric statistics ⋮ Generalized runs tests for heteroscedastic time series ⋮ Asymptotically most powerful rank tests for multivariate randomness against serial dependence ⋮ Rank statistics for serial dependence ⋮ Tests of serial dependence for multivariate time series with arbitrary distributions ⋮ Rates of convergence for linear rank statistics with dependent data

Cites Work

• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Linear serial rank tests for randomness against ARMA alternatives
• Generalized portmanteau statistics and tests of randomness
• LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Asymptotically Most Powerful Rank-Order Tests
• ASYMPTOTIC NORMALITY OF LINEAR RANK STATISTICS UNDER ALTERNATIVES
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Contiguity of Probability Measures

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