Adaptive permutation tests for serial independence
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.
|Keywords||m-dependence, Permutation test, Serial independence, The blum-kiefer-rosenblatt statistic, The cramer-von mises statistic, The kolmogorov-smirnov statistic|
Tran, L. (Lanh), Chu, B, Huang, C. (Chunfeng), & Huynh, K.P. (Kim P.). (2014). Adaptive permutation tests for serial independence. Statistica Neerlandica, 68(3), 183–208. doi:10.1111/stan.12028