Asymptotically most powerful rank tests for multivariate randomness against serial dependence

DOI10.1016/0047-259X(89)90087-0zbMath0685.62047OpenAlexW2010308354MaRDI QIDQ1262052

Jean-Francois Ingenbleek, Marc Hallin, Madan Lal Puri

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90087-0

zbMATH Keywords

white noiseasymptotically optimal testsmultivariate ARMA modelsasymptotically locally most powerful testslinear serial multirank statisticslocal alternatives of ARMA dependencepermutationally distribution-free testsvan der Waerden type test

Mathematics Subject Classification ID

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

Related Items

Distribution-free tests against serial dependence: Signed or unsigned ranks? ⋮ Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA ⋮ A simple R-estimation method for semiparametric duration models ⋮ Time series analysis via rank order theory: Signed-rank tests for ARMA models ⋮ Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors ⋮ Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach

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