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.
Publié le : 1977-11-14
Classification:
Robustness,
UMP test,
UMPU test,
serial correlation,
invariance,
completeness,
Durbin-Watson test,
Anderson-Anderson test,
von Neumann test,
linear model,
62G10,
62F05,
62G35,
62J05
@article{1176344005,
author = {Kariya, Takeaki},
title = {A Robustness Property of the Tests for Serial Correlation},
journal = {Ann. Statist.},
volume = {5},
number = {1},
year = {1977},
pages = { 1212-1220},
language = {en},
url = {http://dml.mathdoc.fr/item/1176344005}
}
Kariya, Takeaki. A Robustness Property of the Tests for Serial Correlation. Ann. Statist., Tome 5 (1977) no. 1, pp. 1212-1220. http://gdmltest.u-ga.fr/item/1176344005/