Abstract
Abstract Optimal rank-based procedures were derived in Hallin et al. (1985,1987) and Hallin and Puri (1988a) for a variety of testing problems arising in time-series analysis, when the underlying innovation densities remain unspecified. Signed-rank analogues have been proposed in Hallin and Puri (1988b) for the case of symmetric unspecified innovation densities. The ARE of unsigned rank-based tests with respect to their signed counterparts however has been shown to be one (same-reference). The objective of the present paper is an investigation of the finite-sample behavior of some asymptotically optimal signed-rank tests against first-order serial dependence, as well as a finite-sample comparative study of the actual performances, under nonlocal alternatives, of signed and unsigned ranks. Exact and approximate critical values are provided for various scores (van der Waerden, Wilcoxon, Laplace, Spearman) and various series lengths. The comparative study indicates that, notwithstanding the ARE values of one, signed-rank tests may yield substantially better performances than unsigned ones.
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