Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models

DOI10.1214/aos/1176350712zbMath0659.62111OpenAlexW3021705085MaRDI QIDQ1112523

Marc Hallin, Madan Lal Puri

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350712

zbMATH Keywords

asymptotic sufficiencyARMA alternatives of dependenceasymptotically maximin most powerful testBox-Pierce portmanteau statisticcontiguous ARMA alternativesdistribution-free asymptotically most powerful testgeneralized linear serial rank statisticgeneralized quadratic serial rank statistictesting randomness

Mathematics Subject Classification ID

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

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