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

DOI10.1016/0378-3758(90)90038-VzbMath0721.62045OpenAlexW1969475800MaRDI QIDQ2641034

Annie Laforet, Marc Hallin, 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

time seriesrank testscritical valuesautoregressive-moving average modelsasymptotically optimal signed-rank testsfinite- sample behaviorfinite-sample comparative studyfirst-order serial dependencenonlocal alternatives

Mathematics Subject Classification ID

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

Related Items (2)

Time series analysis via rank order theory: Signed-rank tests for ARMA models ⋮ Simple exact bounds for distributions of linear signed rank statistics

Cites Work

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• Nonparametric testing for time series: A bibliography
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• An Exact Test for Randomness in the Non-Parametric Case Based on Serial Correlation

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