Distributions Escaping to Infinity and the Limiting Power of the Cliff-Ord Test for Autocorrelation

2012

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DOI 10.5402/2012/926164
Data confidence 70 medium
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Abstract

We consider a family of proper random variables which converges to an improper random variable. The limit in distribution is found and applied to obtain a closed-form expression for the limiting power of the Cliff-Ord test for autocorrelation. The applications include the theory of characteristic functions of proper random variables, the theory of almost periodic functions, and the test for spatial correlation in a linear regression model.