Some Non-Parametric Tests form-dependent Time Series
作者:
PranabKumar Sen,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1965)
卷期:
Volume 60,
issue 309
页码: 134-147
ISSN:0162-1459
年代: 1965
DOI:10.1080/01621459.1965.10480779
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
In the case of moving average schemes or what are termed them-dependent stochastic processes, the successive observations in the series are not stochastically independent. As a result, the usual sign test, the test based on the rank correlation τ (for randomness against trend alternatives), and the test proposed by Moore and Wallis [9] and further developed by Goodman and Grunfeld [2] (for the comovement between two time series) are not valid and require some modifications. Accordingly, the modified forms of these non-parametric tests are studied here in detail, and their applications considered.
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