Detecting Randomness: A Review of Existing Tests with New Comparisons

DOI10.1080/03610918.2012.732173zbMath1291.62097OpenAlexW2018504273MaRDI QIDQ5415911

Alicia Graziosi Strandberg, Boris Iglewicz

Publication date: 19 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.732173

zbMATH Keywords

time seriesserial correlationstock market indicesrandomnessvariance ratio tests

Mathematics Subject Classification ID

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

Uses Software

• vrtest

Cites Work

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• Some partially sequential nonparametric tests for detecting linear trend
• A simple multiple variance ratio test
• Some generalizations of the T-method in simultaneous inference
• Some properties of the tukey g and h family of distributions
• Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures
• On a measure of lack of fit in time series models

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