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THE SIGN TEST FOR STOCHASTIC PROCESSES
Author(s) -
Huggins R.M.
Publication year - 1989
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1989.tb00509.x
Subject(s) - autoregressive model , sign (mathematics) , computer science , sign test , process (computing) , mathematics , econometrics , statistics , mathematical analysis , wilcoxon signed rank test , mann–whitney u test , operating system
summary It is shown that the sign test may be applied to the residuals from the use of model fitting procedures, such as conditional least squares, to make inferences on the predictable part of a stochastic process. Minimal assumptions on the distribution of the process, apart from those already required for the model fitting procedure, are needed. The results are illustrated with an application to first order autoregressive processes.