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Biometrika 1980 67(2):375-379; doi:10.1093/biomet/67.2.375
© 1980 by Biometrika Trust
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Nonparametric tests of randomness against autocorrelated normal alternatives

G. D. GUPTA and Z. GOVINDARAJULU

CIBA-GEIGY Pharmaceuticals, Summit New Jersey
Department of Statistics, University of Kentucky Lexington

Locally most powerful rank tests of randomness against autocorrelated normal alternatives are derived. In particular, autoregressive and moving average alternatives are considered. The distribution of the statistic under the hypothesis of randomness is shown to be asymptotically normal. The small sample power of the test procedure is compared with that of two other procedures by the Monte Carlo Method.

Key Words: Autocorrelated alternatives • Nonparametric test • Randomness • Rank analysis.


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