Linear Serial Rank Tests for Randomness Against Arma Alternatives
Open Access
- 1 September 1985
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 13 (3) , 1156-1181
- https://doi.org/10.1214/aos/1176349662
Abstract
In this paper we introduce a class of linear serial rank statistics for the problem of testing white noise against alternatives of ARMA serial dependence. The asymptotic normality of the proposed statistics is established, both under the null as well as alternative hypotheses, using LeCam's notion of contiguity. The efficiency properties of the proposed statistics are investigated, and an explicit formulation of the asymptotically most efficient score-generating functions is provided. Finally, we study the asymptotic relative efficiency of the proposed procedures with respect to their normal theory counterparts based on sample autocorrelations.Keywords
All Related Versions
This publication has 0 references indexed in Scilit: