Residual empirical processes and qualitatively robust GM-tests in autoregression
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Publication:263317
DOI10.3103/S0027132214010057zbMath1333.93088OpenAlexW2071914359MaRDI QIDQ263317
D. M. Esaulov, Mikhaĭl Vasil'evich Boldin
Publication date: 4 April 2016
Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3103/s0027132214010057
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sensitivity (robustness) (93B35)
Cites Work
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- Robustness of GM-tests in autoregression against outliers
- Influence functionals for time series (with discussion)
- Qualitative robustness of rank tests
- On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
- On median estimates and tests in autoregressive models
- Local robustness of sign tests in AR(1) against outliers
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