When are Variance Ratio Tests for Serial Dependence Optimal? (Q4016229)
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scientific article; zbMATH DE number 78136
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| English | When are Variance Ratio Tests for Serial Dependence Optimal? |
scientific article; zbMATH DE number 78136 |
Statements
When are Variance Ratio Tests for Serial Dependence Optimal? (English)
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9 December 1992
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optimal tests
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time series
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sample variance
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filtered time series
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normality
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null of white noise
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serially dependent alternative
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variance ratio test
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mean reversion
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0.830287516117096
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0.7994760274887085
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0.7907530665397644
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0.7899879217147827
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0.7814204692840576
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