A Robustness Property of the Tests for Serial Correlation

Takeaki Kariya

doi:10.1214/aos/1176344005

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Home > Journals > Ann. Statist. > Volume 5 > Issue 6 > Article

November, 1977 A Robustness Property of the Tests for Serial Correlation

Takeaki Kariya

Ann. Statist. 5(6): 1212-1220 (November, 1977). DOI: 10.1214/aos/1176344005

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Abstract

This paper shows that the UMP or UMPU tests for serial correlation, derived under the assumption of a normal distribution, are quite robust against departure from normality. In fact, the tests are still UMP or UMPU in much broader classes of distributions and the null distributions remain unchanged under these classes. The results will be applied to a linear model.

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Takeaki Kariya. "A Robustness Property of the Tests for Serial Correlation." Ann. Statist. 5 (6) 1212 - 1220, November, 1977. https://doi.org/10.1214/aos/1176344005

Information

Published: November, 1977

First available in Project Euclid: 12 April 2007

zbMATH: 0375.62043

MathSciNet: MR468029

Digital Object Identifier: 10.1214/aos/1176344005

Subjects:

Primary: 62G10

Secondary: 62F05 , 62G35 , 62J05

Keywords: Anderson-Anderson test , completeness , Durbin-Watson test , Invariance , linear model , robustness , serial correlation , UMP test , UMPU test , von Neumann test