Distribution-free tests against serial dependence: Signed or unsigned ranks? (Q2641034)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distribution-free tests against serial dependence: Signed or unsigned ranks? |
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Distribution-free tests against serial dependence: Signed or unsigned ranks? (English)
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1990
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The objective of the present paper is an investigation of the finite- sample behavior of some asymptotically optimal signed-rank tests against first-order serial dependence, as well as a finite-sample comparative study of the actual performances, under nonlocal alternatives, of signed and unsigned ranks. Exact and approximate critical values are provided for various scores (van der Waerden, Wilcoxon, Laplace, Spearman) and various series lengths. The comparative study indicates that, notwithstanding the ARE values of one, signed-rank tests may yield substantially better performances than unsigned ones.
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time series
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autoregressive-moving average models
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rank tests
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finite- sample behavior
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asymptotically optimal signed-rank tests
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first-order serial dependence
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finite-sample comparative study
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nonlocal alternatives
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critical values
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