One-Sample Rank Tests Under Autoregressive Dependence

Willem/Wim Albers

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    Abstract

    One-sample linear rank tests are considered for the case where the observations are not independent but come from an autoregressive process. It is proposed to apply the tests under these circumstances to certain transformations of the observations, rather than to the observations themselves. Then the tests have asymptotically the same properties as under independence, both under the hypothesis and under contiguous location alternatives. In particular, they are asymptotically distribution-free.
    Original languageEnglish
    Pages (from-to)836-845
    JournalAnnals of statistics
    Volume6
    Issue number4
    DOIs
    Publication statusPublished - 1978

    Keywords

    • autoregressive processes
    • One-sample problem
    • rank tests
    • IR-70390
    • contiguous location alternatives

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