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Keywords
(5)
Asymptotic Efficiency
Random Variable
Serial Correlation
Test for Independence
kolmogorov smirnov
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Rank Spectral Processes and Tests for Serial Dependence
Rank Spectral Processes and Tests for Serial Dependence,10.1214/aoms/1177690850,The Annals of Mathematical Statistics,R. J. Beran
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Rank Spectral Processes and Tests for Serial Dependence
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Citations: 2
)
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R. J. Beran
Rank analogues of the integrated periodogram spectral process are introduced and used to generate distributionfree tests for independence of a set of random variables. Under simple autoregressive alternatives, the rank spectral process with normal scores yields a test of KolmogorovSmirnov type whose local
asymptotic efficiency
relative to the analogous test based on the integrated periodogram is at least one. Moreover, the same rank test has good local
asymptotic efficiency
relative to tests based on optimally lagged rank
serial correlation
coefficients.
Journal:
The Annals of Mathematical Statistics
, vol. 43, no. 1972, pp. 17491766, 1972
DOI:
10.1214/aoms/1177690850
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Citation Context
(1)
...In El2], there are examples (implicit) of it in a nonparametric setting; the Hilbert structure is explicit, for example, in Beran's papers ([2,
3
]) where it is applied to both nonparametric and robustness problems...
P. W. Millar
.
Asymptotic minimax theorems for the sample distribution function
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Citations
(2)
A central limit theorem for generalized quadratic forms
(
Citations: 111
)
Peter de Jong
Journal:
Probability Theory and Related Fields  PROBAB THEORY RELAT FIELD
, vol. 75, no. 2, pp. 261277, 1987
Asymptotic minimax theorems for the sample distribution function
(
Citations: 27
)
P. W. Millar
Journal:
Probability Theory and Related Fields  PROBAB THEORY RELAT FIELD
, vol. 48, no. 3, pp. 233252, 1979