A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence

DOI10.2307/3315551zbMath0821.62022OpenAlexW3151992377MaRDI QIDQ4837804

Marc Hallin, Madan Lal Puri

Publication date: 3 October 1995

Published in: The Canadian Journal of Statistics / La Revue Canadienne de Statistique (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2022/22265

zbMATH Keywords

multivariate ARMA modelscontiguous alternativesasymptotic local powermultivariate portmanteau testARMA dependencepermutational central limit theoremmultivariate model identificationrank autocorrelation coefficientsrank cross-covariance matrixrank-based cross-covariance matricesrank-based, permutationallly distribution-free testWald-Wolfowitz rank test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors

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