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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 3, Pages 436–460
DOI: https://doi.org/10.4213/tvp202 (Mi tvp202) 		 
This article is cited in 6 scientific papers (total in 6 papers)

On sign tests in ARMA models with possibly infinite error variance

M. V. Boldina, W. Stuteb

a M. V. Lomonosov Moscow State University
b Mathematisches Institut, Justus Liebig Universität Giessen
Full-text PDF (2186 kB) Citations (6)
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DOI: https://doi.org/10.4213/tvp202
Abstract: 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.
Keywords: ARMA model, infinite variance, sign and rank tests, asymptotic uniform linearity.
Received: 08.11.2001
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 3, Pages 392–413
DOI: https://doi.org/10.1137/S0040585X97981160
Bibliographic databases:
Language: Russian
Citation: M. V. Boldin, W. Stute, “On sign tests in ARMA models with possibly infinite error variance”, Teor. Veroyatnost. i Primenen., 49:3 (2004), 436–460; Theory Probab. Appl., 49:3 (2005), 392–413
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
\yr 2005
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\issue 3
\pages 392--413
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  • https://www.mathnet.ru/eng/tvp202
  • https://doi.org/10.4213/tvp202
  • https://www.mathnet.ru/eng/tvp/v49/i3/p436
    • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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