Time series analysis via rank order theory: Signed-rank tests for ARMA models

Marc Hallin and Madan L. Puri

Journal of Multivariate Analysis, 1991, vol. 39, issue 1, 1-29

Abstract: 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.

Keywords: signed; ranks; serial; rank; statistics; ARMA; models; asymptotic; relative; efficiency; locally; asymptotically; optimal; tests (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (11)

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Working Paper: Time series analysis via rank-order theory, signed-rank tests for ARMA models (1991)
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