Geodesic
On sign tests in ARMA models with possibly infinite
Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 3, pp. 436-460

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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. 
@article{TVP_2004_49_3_a1,
     author = {M. V. Boldin and W. Stute},
     title = {On sign tests in {ARMA} models with possibly infinite},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {436--460},
     publisher = {mathdoc},
     volume = {49},
     number = {3},
     year = {2004},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2004_49_3_a1/}
}
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M. V. Boldin; W. Stute. On sign tests in ARMA models with possibly infinite. Teoriâ veroâtnostej i ee primeneniâ, Tome 49 (2004) no. 3, pp. 436-460. http://geodesic.mathdoc.fr/item/TVP_2004_49_3_a1/