Rank Tests for Randomness Against Time-Varying MA Alternative

Junichi Hirukawa () and Shunsuke Sakai
Additional contact information
Junichi Hirukawa: Niigata University, Faculty of Science
Shunsuke Sakai: Niigata University, Graduate School of Science and Technology

Chapter Chapter 9 in Research Papers in Statistical Inference for Time Series and Related Models, 2023, pp 221-245 from Springer

Abstract: Abstract In this paper, we extend the idea of the problem of testing randomness against ARMA alternative to a class of locally stationary processes introduced by [1, 2]. We use the linear serial rank statistics and apply the notion of the contiguity [12] for the testing problem. Under the null hypothesis, the joint asymptotic normality of the proposed rank test statistics and log-likelihood ratio is established by making use of the local asymptotic normal property. Then, applying LeCam’s third lemma, the asymptotic normality of test statistic under the alternative is shown automatically.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-0803-5_9

Ordering information: This item can be ordered from
http://www.springer.com/9789819908035

DOI: 10.1007/978-981-99-0803-5_9

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().