A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes |
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| Authors: | Jiin-Huarng Guo |
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| Institution: | Department of Mathematical Sciences, Chinese Air Force Academy, Taiwan, R.O.C. |
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| Abstract: | A nonparametric testing procedure for the parallelism of two first-order autoregressive processes is presented. This paper discuss the Mann–Whitney statistic, its natural competitor two-sample t -test, and the bootstrap method. It studies the asymptotic efficacies of the studentized Mann–Whitney statistic and the t -test statistic with their relative efficiency. Simulation results for comparing the powers of these test statistics are also presented. |
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| Keywords: | parallelism first-order autoregressive process Mann–Whitney statistic efficacy asymptotic relative efficiency bootstrap method |
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