Aligned rank tests for linear models with autocorrelated error terms
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.
asymptotically invariant aligned rank tests
generalized theory of aligned rank tests
locally asymptotically most stringent tests
scientific article; zbMATH DE number 638491