On sign tests in ARMA models with possibly infinite error variance

被引：3

作者：

Boldin, MV

Stute, W

机构：

[1] Moscow MV Lomonosov State Univ, Dept Math & Mech, Moscow 119992, Russia

[2] Univ Giessen, Inst Math, D-35392 Giessen, Germany

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2004年 / 49卷 / 03期

关键词：

ARMA model; infinite variance; sign and rank tests; asymptotic uniform linearity;

D O I：

10.1137/S0040585X97981160

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：

For ARMA models with possibly infinite variance, we construct sign tests for linear hypotheses about a vector of unknown parameter. We study an asymptotic power of tests.

引用

页码：392 / 413

页数：22

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