A Robustness Property of the Tests for Serial Correlation

Open Access

1 November 1977

journal article
Published by Institute of Mathematical Statistics in The Annals of Statistics

Vol. 5 (6) , 1212-1220
https://doi.org/10.1214/aos/1176344005

Abstract

This paper shows that the UMP or UMPU tests for serial correlation, derived under the assumption of a normal distribution, are quite robust against departure from normality. In fact, the tests are still UMP or UMPU in much broader classes of distributions and the null distributions remain unchanged under these classes. The results will be applied to a linear model.

Keywords

ROBUSTNESS
UMP TEST
UMPU TEST
SERIAL CORRELATION
INVARIANCE
COMPLETENESS
DURBIN-WATSON TEST
ANDERSON-ANDERSON TEST
VON NEUMANN TEST
LINEAR MODEL

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