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

Abstract EN

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.