Aligned rank tests for linear models with autocorrelated error terms
type: Item
instance of: scholarly article
title: Aligned rank tests for linear models with autocorrelated error terms
zbMATH Open document ID: 0805.62050
author: Marc Hallin
author: Madan L. Puri
published in: Journal of Multivariate Analysis
publication date: 1994-09-13T00:00:00Z
review text: The paper considers linear models with ARMA errors; the purpose is to develop a generalized theory of aligned rank tests. The key result is a local asymptotic normality (LAN) result involving a rank-measurable central sequence. Asymptotically invariant aligned rank tests which are locally asymptotically most stringent tests are derived. The resulting testing procedures are invariant or asymptotically invariant, hence asymptotically distribution-free.
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 638491
zbMATH Keywords: time series regression
zbMATH Keywords: autocorrelated errors
zbMATH Keywords: LAN
zbMATH Keywords: asymptotically invariant aligned rank tests
zbMATH Keywords: linear models
zbMATH Keywords: ARMA errors
zbMATH Keywords: generalized theory of aligned rank tests
zbMATH Keywords: local asymptotic normality
zbMATH Keywords: locally asymptotically most stringent tests
zbMATH Keywords: asymptotically distribution-free
reviewed by: Pedro A. Morettin
MaRDI profile type: Publication
full work available at URL: jmva.1994.1040
OpenAlex ID: W1994357652
DOI: 10.1006/JMVA.1994.1040
description: scientific article; zbMATH DE number 638491