ON A SERIAL RANK TEST FOR RANDOMNESS AGAINST AUTOCORRELATION

Osamu Sugano

doi:10.5183/jjscs1988.4.25

Journal of the Japanese Society of Computational Statistics

Online ISSN : 1881-1337
Print ISSN : 0915-2350
ISSN-L : 0915-2350

ON A SERIAL RANK TEST FOR RANDOMNESS AGAINST AUTOCORRELATION

Osamu Sugano

Author information

Keywords: Serial rank statistic, Pitman efficiency, Autocorrelation coefficient, First order autoregressive process, Local serial rank correlation

JOURNAL FREE ACCESS

1991 Volume 4 Issue 1 Pages 25-34

DOI https://doi.org/10.5183/jjscs1988.4.25

Details

Abstract

For testing the hypothesis of randomness against the alternative that the variables are autocorrelated, we propose a new serial rank statistic G_N and compute the Pitman efficiency of the test based on the statistic G_N relative to that based on the autocorrelation coefficient. The serial rank test based on the proposed statistic is applied to some examples.

Content from these authors

Favorites & Alerts

Corresponding author

Register with J-STAGE for free!