TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION (Q4892826)

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scientific article; zbMATH DE number 922072
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TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
scientific article; zbMATH DE number 922072

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    TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION (English)
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    19 January 1997
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    serial independence tests
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    multivariate sample distribution
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    Hoeffding-Blum-Kiefer-Rosenblatt empirical process
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    random permutation test
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    ergodic alternatives
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    serial dependence
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    Cramer-von Mises statistic
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    critical values
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    Monte Carlo experiment
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    random walk hypothesis of exchange rate returns
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