DUFOUR, Jean-Marie; FARHAT, Abdekjelik; HALLIN, Marc - Département de Sciences Économiques, Université de … - 2005
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...