Residual empirical processes and their application to GM-testing for the autoregression order

DOI10.3103/S1066530713040042MaRDI QIDQ2439931zbMATH OpenOpenAlexFDO

Authors D. M. Esaulov

Publication date 26 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1066530713040042

zbMATH Keywords

outliersrobustnessautoregressionhypotheses testingresidual empirical processesgeneralized M-tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Residual empirical processes and qualitatively robust GM-tests in autoregression
• Robustness of GM-tests in autoregression against outliers
• Robustness of sign tests for testing hypotheses about order of autoregression
• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
• Testing linear hypotheses in autoregressions

Cites work

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• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Aligned rank tests for linear models with autocorrelated error terms
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• Influence functionals for time series (with discussion)
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Robust estimation of nonlinear regression with autoregressive errors.
• Robustness of GM-tests in autoregression against outliers
• Testing linear hypotheses in autoregressions

Cited in

(5)

• Residual empirical processes and qualitatively robust GM-tests in autoregression
• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
• Robustness of sign tests for testing hypotheses about order of autoregression
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• Entropy test and residual empirical process for autoregressive conditional duration models

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