Asymptotic behaviour of the mean and variance of a simple serial rank statistic

Asymptotic behaviour of the mean and variance of a simple serial rank statistic

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Article ID: iaor19961356
Country: Belgium
Volume: 36
Start Page Number: 189
End Page Number: 201
Publication Date: Oct 1994
Journal: Cahiers du Centre d'tudes de Recherche Oprationnelle
Authors: ,
Keywords: time series & forecasting methods
Abstract:

The authors investigate the asymptotic behaviours of the mean equ1 and variance equ2 of the serial rank statistic of the form equ3 where the scores equ4 and equ5 are exact or approximate scores associated with score generating functions J1 and J2, respectively, satisfying equ6 and equ7, equ8. When the ranks equ9 are computed from an absolutely continuously exchangeable n-tuple, it is shown that equ10 and equ11equ12 for some equ13, as equ14.

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