Adaptive permutation tests for serial independence

作者：Tran Lanh^*; Chu Ba; Huang Chunfeng; Huynh Kim P

来源：Statistica Neerlandica, 2014, 68(3): 183-208.

DOI：10.1111/stan.12028

• permutation test
• m-dependence
• serial independence
• the Kolmogorov-Smirnov statistic
• the Cramer-von Mises statistic
• the Blum-Kiefer-Rosenblatt statistic

Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m-dependence and are all simple to perform in practice. A small simulation study demonstrates that the proposed tests have good power in small samples. The tests are then applied to Canadian gross domestic product (GDP data), corroborating the random-walk hypothesis of GDP growth.

• 出版日期2014-8