Locally asymptotically rank-based procedures for testing autoregressive moving average dependence
DOI10.1073/pnas.85.7.2031zbMath0637.62081WikidataQ33561873 ScholiaQ33561873MaRDI QIDQ3777273
Publication date: 1988
Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1073/pnas.85.7.2031
time series; white noise; autoregressive moving average; asymptotic sufficiency; asymptotically maximin most powerful test; contiguous ARMA alternatives; generalized linear serial rank statistic; generalized quadratic serial rank statistic; Box- Pierce portmanteau statistic; distribution- free asymptotically most powerful test; specified coefficients; unspecified coefficients
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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