On the sensitivity of the one-sided t test to covariance misspecification

DOI10.1016/J.JMVA.2009.01.003zbMATH Open1163.62043OpenAlexW1982195752MaRDI QIDQ1026344FDOQ1026344

Authors Alan T. K. Wan, Huaizhen Qin, Guohua Zou

Publication date 24 June 2009

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.01.003

zbMATH Keywords

sensitivitypowerlinear regressionsizerule of thumbAR(1)MA(1)

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 54139 (Why is no real title available?)
• scientific article; zbMATH DE number 1529823 (Why is no real title available?)
• scientific article; zbMATH DE number 3262523 (Why is no real title available?)
• Comparing the exact distribution of the t-statistic to student's distribution when its constituent normal and chi-squared variables are dependent
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• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• On the sensitivity of the restricted least squares estimators to covariance misspecification
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Cited in

(4)

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• Robustness of Stein-type estimators under a non-scalar error covariance structure
• On the sensitivity of pre-test estimators to covariance misspecification

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