OPTIMAL RANK-BASED TESTS AGAINST 1ST-ORDER SUPERDIAGONAL BILINEAR DEPENDENCE

被引：11

作者：

BENGHABRIT, Y ^{[1
]}

HALLIN, M ^{[1
]}

机构：

[1] UNIV LIBRE BRUXELLES,INST STAT,B-1050 BRUSSELS,BELGIUM

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1992年 / 32卷 / 01期

关键词：

BILINEAR MODELS; RANK TESTS; TIME SERIES ANALYSIS;

D O I：

10.1016/0378-3758(92)90151-H

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The problem of testing for white noise (with unspecified probability density function) against first-order, superdiagonal bilinear serial dependence, is considered. Locally asymptotically optimal rank-based tests are derived. Their asymptotic relative efficiencies, with respect to each other as well as with respect to the few existing parametric procedures, is computed under various densities.

引用

页码：45 / 61

页数：17

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