Optimal rank-based tests against first-order superdiagonal bilinear dependence

DOI10.1016/0378-3758(92)90151-HzbMath0752.62036OpenAlexW2021475258MaRDI QIDQ1200014

Youssef Benghabrit, Marc Hallin

Publication date: 17 January 1993

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(92)90151-h

zbMATH Keywords

asymptotic relative efficienciesbilinear time series modelsfirst-order, superdiagonal bilinear serial dependenceLocally asymptotically optimal rank-based teststesting for white noise

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (10)

Measures of Dependence and Tests of Independence ⋮ Nonparametric statistics for testing of linearity and serial independence ⋮ A simple R-estimation method for semiparametric duration models ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Unnamed Item ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ Checking nonlinear heteroscedastic time series models ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ A nonparametric goodness-of-fit test for a class of parametric autoregressive models ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Linear serial rank tests for randomness against ARMA alternatives
• Bilinear Markovian representation and bilinear models
• Asymptotic methods in statistical decision theory
• Time series analysis via rank order theory: Signed-rank tests for ARMA models
• Aligned rank tests for linear models with autocorrelated error terms
• A Tukey nonadditivity-type test for time series nonlinearity
• Nonlinearity tests for time series
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• On the first-order bilinear time series model
• Limiting behavior of U-statistics for stationary, absolutely regular processes

This page was built for publication: Optimal rank-based tests against first-order superdiagonal bilinear dependence