ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS

Marc Hallin

Journal of Time Series Analysis, 1994, vol. 15, issue 6, 607-611

Abstract: Abstract. A classical result of Chernoff and Savage (Asymptotic normality and efficiency of certain nonparametric tests. Ann. Math. Statist. 29 (1958), 972–94) on lower bounds for the local asymptotic power of normal‐score rank tests, and the resulting Pitman non‐admissibility of classical Gaussian testing procedures in general linear models with independent observations, are shown to hold also for linear autoregressive moving‐average time series models. The Pitman non‐admissibility of usual correlogram‐based methods follows.

Date: 1994
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