Some robuste measures (R-estimates) of linear serial dependence

G. Masarotto
Two classes of robust measures of linear dependence for stationary stochastic processes are proposed and studied. The first class is based on one-sample rank tests, the second one on rank correlation coefficients. The paper investigates some asymptotic properties of the considered measures and discusses certain connections between them and the autocorrelation function. Monte Carlo small-sample results are also exhibited.