Distribution-free tests against serial dependence: Signed or unsigned ranks?

DOI10.1016/0378-3758(90)90038-VMaRDI QIDQ2641034zbMATH OpenOpenAlexFDO

Authors Marc Hallin, Annie Laforet, Guy Mélard

Publication date 1990

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(90)90038-v

zbMATH Keywords

asymptotically optimal signed-rank testsautoregressive-moving average modelscritical valuesfinite- sample behaviorfinite-sample comparative studyfirst-order serial dependencenonlocal alternativesrank teststime series

Mathematics Subject Classification ID

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

Review text

The objective of the present paper is an investigation of the finite- sample behavior of some asymptotically optimal signed-rank tests against first-order serial dependence, as well as a finite-sample comparative study of the actual performances, under nonlocal alternatives, of signed and unsigned ranks. Exact and approximate critical values are provided for various scores (van der Waerden, Wilcoxon, Laplace, Spearman) and various series lengths. The comparative study indicates that, notwithstanding the ARE values of one, signed-rank tests may yield substantially better performances than unsigned ones.

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Cites work

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Cited in

(3)

• Time series analysis via rank order theory: Signed-rank tests for ARMA models
• Simple exact bounds for distributions of linear signed rank statistics
• Marc Hallin: a commented bibliography (from 1972 to 2023)

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