A permutation test for randomness with power against smooth variation

Authors:
Fernando Tusell
Affiliations:
Departamento de Estadística y Econometría, Facultad de CC.EE. y Empresariales, Avda. del Lehendakari Aguirre, 83, 48015 Bilbao, Spain. etptupaf@bs.ehu.es
Venue:
Statistics and Computing
Year:
2001

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Abstract

A permutation test for the white noise hypothesis is described, offering power against a general class of smooth alternatives. Simulation results show that it performs well, as compared with similar tests available in the literature, in terms of power. An example demonstrates its use in a particular problem in which a test for randomness was sought without any specific alternative.