Aligned rank tests for linear models with autocorrelated error terms (Q1333198)
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scientific article; zbMATH DE number 638491
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aligned rank tests for linear models with autocorrelated error terms |
scientific article; zbMATH DE number 638491 |
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Aligned rank tests for linear models with autocorrelated error terms (English)
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13 September 1994
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The paper considers linear models with ARMA errors; the purpose is to develop a generalized theory of aligned rank tests. The key result is a local asymptotic normality (LAN) result involving a rank-measurable central sequence. Asymptotically invariant aligned rank tests which are locally asymptotically most stringent tests are derived. The resulting testing procedures are invariant or asymptotically invariant, hence asymptotically distribution-free.
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time series regression
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autocorrelated errors
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LAN
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asymptotically invariant aligned rank tests
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linear models
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ARMA errors
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generalized theory of aligned rank tests
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local asymptotic normality
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locally asymptotically most stringent tests
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asymptotically distribution-free
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