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REPRESENTATION AND ANALYSIS OF SIGNALS PART XX. THE SIGN TEST ON AUTOREGRESSIVE DATA.
JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF ELECTRICAL ENGINEERING AND COMPUTER S CIENCE
Formulas for the mean and variance of the sign test statistic are derived and examples given for X sub t being Gaussian and double-exponential. The Blum-Rosenblatt Central Limit Theorem for strong mixing processes is used to prove asymptotic normality of the sign test statistic in these two cases. Anomalous results of a Monte Carlo experiment are reported. Author
Unlimited version is available as AD-625 272. See also Part 19, AD-619 439.
Contract Number 2: