A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations

DOI10.1081/STA-120037440zbMath1135.62370OpenAlexW2158617440MaRDI QIDQ3155353

C. Radhakrishna Rao, M. Shelton Peiris

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120037440

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (2)

Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities ⋮ Saddlepoint approximation methods for testing of serial correlation in panel time series data

Cites Work

• On testing for serial correlation in large numbers of small samples
• A time series model with random coefficients
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Tail Probability Approximations
• Analysis of short time series with an over-dispersion model
• Linear Statistical Inference and its Applications

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