The Annals of Mathematical Statistics

Rank Spectral Processes and Tests for Serial Dependence

R. J. Beran

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Abstract

Rank analogues of the integrated periodogram spectral process are introduced and used to generate distribution-free tests for independence of a set of random variables. Under simple autoregressive alternatives, the rank spectral process with normal scores yields a test of Kolmogorov-Smirnov type whose local asymptotic efficiency relative to the analogous test based on the integrated periodogram is at least one. Moreover, the same rank test has good local asymptotic efficiency relative to tests based on optimally lagged rank serial correlation coefficients.

Article information

Source
Ann. Math. Statist., Volume 43, Number 6 (1972), 1749-1766.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177690850

Digital Object Identifier
doi:10.1214/aoms/1177690850

Mathematical Reviews number (MathSciNet)
MR351014

Zentralblatt MATH identifier
0257.62028

JSTOR
links.jstor.org

Citation

Beran, R. J. Rank Spectral Processes and Tests for Serial Dependence. Ann. Math. Statist. 43 (1972), no. 6, 1749--1766. doi:10.1214/aoms/1177690850. https://projecteuclid.org/euclid.aoms/1177690850


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