Locally asymptotically rank-based procedures for testing autoregressive moving average dependence

DOI10.1073/pnas.85.7.2031zbMath0637.62081OpenAlexW2092125736WikidataQ33561873 ScholiaQ33561873MaRDI QIDQ3777273

Marc Hallin, Madan Lal Puri

Publication date: 1988

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.85.7.2031

zbMATH Keywords

time serieswhite noiseautoregressive moving averageasymptotic sufficiencyasymptotically maximin most powerful testcontiguous ARMA alternativesgeneralized linear serial rank statisticgeneralized quadratic serial rank statisticBox- Pierce portmanteau statisticdistribution- free asymptotically most powerful testspecified coefficientsunspecified coefficients

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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