Locally asymptotically rank-based procedures for testing autoregressive moving average dependence

DOI10.1073/PNAS.85.7.2031MaRDI QIDQ3777273zbMATH OpenOpenAlexWikidataFDO

Authors Marc Hallin, Madan L. Puri

Publication date 1988

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.85.7.2031

zbMATH Keywords

asymptotic sufficiencyasymptotically maximin most powerful testautoregressive moving averageBox- Pierce portmanteau statisticcontiguous ARMA alternativesdistribution- free asymptotically most powerful testgeneralized linear serial rank statisticgeneralized quadratic serial rank statisticspecified coefficientstime seriesunspecified coefficientswhite noise

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(10)

• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Time series analysis via rank order theory: Signed-rank tests for ARMA models
• Asymptotically most powerful rank tests for multivariate randomness against serial dependence
• Optimal tests for autoregressive models based on autoregression rank scores
• Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence
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• LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Limiting behavior of one sample rank order statistics with unbounded scores for nonstationary absolutely regular processes

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