Some robust exact results on sample autocorrelations and tests of randomness

DOI10.1016/0304-4076(85)90155-1zbMath0589.62080OpenAlexW2165927094MaRDI QIDQ1074278

Roch Roy, Jean-Marie Dufour

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1866/399

zbMATH Keywords

simulationtime serieswhite noisespherically symmetric distributionsmeansexchangeablecovariancesBoundsvariancescritical values for tests of randomnessexact results on the second moments of sample autocorrelationsexact second moments of rank autocorrelationsGaussian and non-Gaussian series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05)

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