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Biometrika 1975 62(3):571-575; doi:10.1093/biomet/62.3.571
© 1975 by Biometrika Trust
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Testing for randomness against autocorrelated alternatives: The parametric case

JAMES D. KNOKE

Department of Biometry, Case Western Reserve University Cleveland

Testing for randomness is studied for an alternative model of multivariate normality with the autocorrelation specified by a single parameter. First-order autoregression and first-order moving averages are special cases of this model. The likelihood derivative method is used to obtain tests. The asymptotic efficiencies are derived of these tests compared with tests based on the first-order sample serial correlation.

Key Words: Asymptotic efficiency • Autocorrelation • Likelihood derivative test • Testing for randomness


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