OPTIMAL RANK-BASED TESTS AGAINST 1ST-ORDER SUPERDIAGONAL BILINEAR DEPENDENCE

被引：11
|
作者：
BENGHABRIT, Y [1 ]
HALLIN, M [1 ]
机构：
[1] UNIV LIBRE BRUXELLES,INST STAT,B-1050 BRUSSELS,BELGIUM
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1992年 / 32卷 / 01期
关键词：
BILINEAR MODELS; RANK TESTS; TIME SERIES ANALYSIS;
D O I：
10.1016/0378-3758(92)90151-H
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：
The problem of testing for white noise (with unspecified probability density function) against first-order, superdiagonal bilinear serial dependence, is considered. Locally asymptotically optimal rank-based tests are derived. Their asymptotic relative efficiencies, with respect to each other as well as with respect to the few existing parametric procedures, is computed under various densities.
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页码：45 / 61
页数：17
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