In this paper a new nonparametric test for randomness against serial dependence is developed. This test is based on a serial version of Gini's cograduation index (see Gini, 1954). The expectation and variance of the proposed test-statistic under the null hypothesis of the test are derived. Moreover, some indications about the exact distribution of the test-statistic under randomness are given. Finally, the proposed test is compared, via simulation, with the test based on the Spearman-Wald-Wolfowitz serial rank correlation coefficient (see Wald and Wolfowitz, 1943)
Borroni, C. (2003). A serial version of Gini's cograduation index. STUDENT, 4, 167-178.
A serial version of Gini's cograduation index
BORRONI, CLAUDIO GIOVANNI
2003
Abstract
In this paper a new nonparametric test for randomness against serial dependence is developed. This test is based on a serial version of Gini's cograduation index (see Gini, 1954). The expectation and variance of the proposed test-statistic under the null hypothesis of the test are derived. Moreover, some indications about the exact distribution of the test-statistic under randomness are given. Finally, the proposed test is compared, via simulation, with the test based on the Spearman-Wald-Wolfowitz serial rank correlation coefficient (see Wald and Wolfowitz, 1943)
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