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On the Pitman nonadmissibility of correlogram-based time series methods

Marc Hallin ()

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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: 1994-11
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Published in: Journal of Time Series Analysis (1994) v.15 n° 6,p.607-611

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