Linear serial rank tests for randomness against ARMA alternatives (Q1069599)
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scientific article; zbMATH DE number 3936223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear serial rank tests for randomness against ARMA alternatives |
scientific article; zbMATH DE number 3936223 |
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Linear serial rank tests for randomness against ARMA alternatives (English)
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1985
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This is a systematic and quite thorough study of testing whether a time series may be regarded as independent (random) or whether it has an ARMA type of dependency. The test statistic being used is a sum of suitable score functions of the ranks of the successive observations. With special choices for the score functions a number of the known test statistics are obtained. The efficiency properties of the proposed statistics are investigated, and a formulation of the asymptotically most efficient score is given.
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linear serial rank tests for randomness
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asymptotic normality
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contiguity
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asymptotic relative efficiency
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autoregressive moving average
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time series
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ARMA type of dependency
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score functions of the ranks of the successive observations
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asymptotically most efficient score
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