A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations

DOI10.1081/STA-120037440MaRDI QIDQ3155353zbMATH OpenOpenAlexFDO

Authors Shelton Peiris, C. R. Rao

Publication date 14 January 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-120037440

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
• On testing for serial correlation in large numbers of small samples
• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• A small-sample correction for testing for \(g\)th-order serial correlation with artificial regressions
• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE

Cites work

• A time series model with random coefficients
• Analysis of short time series with an over-dispersion model
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Linear Statistical Inference and its Applications
• On testing for serial correlation in large numbers of small samples
• Tail Probability Approximations

Cited in

(5)

• Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• scientific article; zbMATH DE number 6951457 (Why is no real title available?)
• Testing serial correlations in high-dimensional time series via extreme value theory
• On testing for serial correlation in large numbers of small samples

This page was built for publication: A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3155353)