A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence (Q4837804)
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scientific article; zbMATH DE number 769887
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| English | A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence |
scientific article; zbMATH DE number 769887 |
Statements
A Multivariate Wald-Wolfowitz Rank Test against Serial Dependence (English)
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3 October 1995
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Wald-Wolfowitz rank test
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rank cross-covariance matrix
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multivariate ARMA models
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multivariate portmanteau test
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multivariate model identification
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rank-based cross-covariance matrices
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rank autocorrelation coefficients
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permutational central limit theorem
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contiguous alternatives
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ARMA dependence
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rank-based, permutationallly distribution-free test
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asymptotic local power
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0.8586524128913879
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0.8316793441772461
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