Distributions Escaping to Infinity and the Limiting Power of the Cliff-Ord Test for Autocorrelation | Zendy

Kairat Mynbaev | Zendy

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Distributions Escaping to Infinity and the Limiting Power of the Cliff-Ord Test for Autocorrelation

Author(s) -

Kairat Mynbaev

Publication year - 2012

Publication title -

isrn probability and statistics

Language(s) - English

Resource type - Journals

eISSN - 2090-472X

pISSN - 2090-4711

DOI - 10.5402/2012/926164

Subject(s) - autocorrelation , mathematics , limit (mathematics) , random variable , limiting , infinity , statistics , statistical physics , mathematical analysis , physics , mechanical engineering , engineering

We consider a family of proper random variables which converges to an improper random variable. The limit in distribution is found and applied to obtain a closed-form expression for the limiting power of the Cliff-Ord test for autocorrelation. The applications include the theory of characteristic functions of proper random variables, the theory of almost periodic functions, and the test for spatial correlation in a linear regression model.

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