TIME-SERIES ANALYSIS VIA RANK ORDER THEORY - SIGNED-RANK TESTS FOR ARMA MODELS

被引：32

作者：

HALLIN, M ^{[1
]}

PURI, ML ^{[1
]}

机构：

[1] INDIANA UNIV,BLOOMINGTON,IN 47401

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1991年 / 39卷 / 01期

关键词：

SIGNED RANKS; SERIAL RANK STATISTICS; ARMA MODELS; ASYMPTOTIC RELATIVE EFFICIENCY; LOCALLY ASYMPTOTICALLY OPTIMAL TESTS;

D O I：

10.1016/0047-259X(91)90002-J

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：

An asymptotic distribution theory is developed for a general class of signed-rank serial statistics, and is then used to derive asymptotically locally optimal tests (in the maximin sense) for testing an ARMA model against other ARMA models. Special cases yield Fisher-Yates, van der Waerden, and Wilcoxon type tests. The asymptotic relative efficiencies of the proposed procedures with respect to each other, and with respect to their normal theory counterparts, are provided. © 1991.

引用

页码：1 / 29

页数：29