Rank-based partial aurocorrelations are not asymptotically distribution-free

DOI10.1016/S0167-7152(99)00159-5zbMath1054.62582MaRDI QIDQ1976502

Bernard Garel, Marc Hallin

Publication date: 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Time seriesRobust methodsAutoregressive modelRank testOrder identification

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• RANK TESTS FOR SERIAL DEPENDENCE
• Nonparametric testing for time series: A bibliography
• ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
• Rank-Based Autoregressive Order Identification
• An Exact Test for Randomness in the Non-Parametric Case Based on Serial Correlation

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