ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS

DOI10.1111/j.1467-9892.1994.tb00215.xzbMath0807.62068OpenAlexW2073279198MaRDI QIDQ4319854

Marc Hallin

Publication date: 15 January 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00215.x

zbMATH Keywords

lower boundslocal asymptotic powercorrelogram-based methodslinear autoregressive moving-average time series modelsnormal-score rank testsPitman non- admissibility

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Admissibility in statistical decision theory (62C15)

Related Items (17)

Affine-invariant rank tests for multivariate independence in independent component models ⋮ R-estimation for arma models ⋮ A Chernoff-Savage result for shape: On the non-admissibility of pseudo-Gaussian methods ⋮ Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ A note on the regularity of optimal-transport-based center-outward distribution and quantile functions ⋮ Measures of Dependence and Tests of Independence ⋮ Rank-based tests for autoregressive against bilinear serial dependence ⋮ Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression ⋮ Rank-based partial aurocorrelations are not asymptotically distribution-free ⋮ On Hodges and Lehmann’s “6/π Result” ⋮ Unnamed Item ⋮ A unified and elementary proof of serial and nonserial, univariate and multivariate, Chernoff--Savage results ⋮ Rank-based estimation for all-pass time series models ⋮ Optimal tests for autoregressive models based on autoregression rank scores ⋮ On universally consistent and fully distribution-free rank tests of vector independence ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Aligned rank tests for linear models with autocorrelated error terms
• Efficient detection of random coefficients in autoregressive models
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• Rank-based tests for autoregressive against bilinear serial dependence
• ASYMPTOTIC NORMALITY OF LINEAR RANK STATISTICS UNDER ALTERNATIVES
• An Elementary Method for Obtaining Lower Bounds on the Asymptotic Power of Rank Tests

This page was built for publication: ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS