
Accession Number : AD0625272
Title : THE SIGN TEST ON AUTOREGRESSIVE DATA.
Descriptive Note : Technical rept.,
Corporate Author : JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF STATISTICS
Personal Author(s) : Wolff,S. S. ; Gastwirth,J. ; Rubin,H.
Report Date : NOV 1965
Pagination or Media Count : 21
Abstract : The sign test is analyzed and shown to lose its distributionfree properties for dependent data of the form Xsubt = pXsubt1 + Wsubt, t = 1, ..., N, O p < 1; (Wsubt) is a strictly stationary sequence of independent, identically distributed random variables with zero mean. Formulas for the mean and variance of the sign test statistic are derived and examples given for Xsubt being Gaussian and doubleexponential. The BlumRosenblatt Central Limit Theorem for strong mixing processes is used to prove asymptotic normality of the sign test statistic in these two cases. Anomalous results of a Monte Carlo experiment are reported. (Author)
Descriptors : (*STATISTICAL TESTS, DISTRIBUTION THEORY), (*STATISTICAL FUNCTIONS, CORRELATORS), CLIPPER CIRCUITS, INFORMATION THEORY
Subject Categories : Statistics and Probability
Cybernetics
Distribution Statement : APPROVED FOR PUBLIC RELEASE