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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2004 Volume 49, Issue 3, Pages 436–460 (Mi tvp202)
This article is cited 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

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

DOI: 10.4213/tvp202


 English version: Theory of Probability and its Applications, 2005, 49:3, 392–413

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