Tests based on simplicial depth for AR(1) models with explosion

DOI10.1111/JTSA.12186zbMATH Open1349.62410OpenAlexW3123972774MaRDI QIDQ2830680FDOQ2830680

Authors: Christoph P. Kustosz, Anne Leucht, Christine H. Müller 

Publication date: 28 October 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/33642

Recommendations

• Simplified simplicial depth for regression and autoregressive growth processes
• Tests for multiple regression based on simplicial depth
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• Distribution-free tests for polynomial regression based on simplicial depth
• Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier

zbMATH Keywords

consistencyrobustnessautoregressionalternating signdistribution-free testsimplicial depth

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Simplified simplicial depth for regression and autoregressive growth processes
• THE SIGN TEST FOR STOCHASTIC PROCESSES
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• Maximum likelihood estimators in regression models with infinite variance innovations
• Nonparametric prediction intervals for explosive ar(1)-processes

Cited In (5)

• Simplified simplicial depth for regression and autoregressive growth processes
• K-sign depth: from asymptotics to efficient implementation
• Sign depth tests in multiple regression
• Simple powerful robust tests based on sign depth
• Explicit bivariate simplicial depth

Uses Software

• R
• robustbase
• Snow
• Rmpi
• snow
• matrixcalc

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