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

DOI10.1111/JTSA.12186MaRDI QIDQ2830680zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Simplified simplicial depth for regression and autoregressive growth processes
• Tests for multiple regression based on simplicial depth
• Local robustness of sign tests in AR(1) against outliers
• 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

Cites work

• scientific article; zbMATH DE number 720761 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
• Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
• Bootstrapping explosive autoregressive processes
• Consistency and robustness of tests and estimators based on depth
• Consistency of the likelihood depth estimator for the correlation coefficient
• Convergence of stochastic processes
• Depth estimators and tests based on the likelihood principle with application to regression
• Depth notions for orthogonal regression
• Distribution-free tests for polynomial regression based on simplicial depth
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Local robustness of sign tests in AR(1) against outliers
• Maximum likelihood estimators in regression models with infinite variance innovations
• New robust tests for the parameters of the Weibull distribution for complete and censored data
• Nonparametric prediction intervals for explosive ar(1)-processes
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On a notion of data depth based on random simplices
• On depth and deep points: A calculus.
• Regression Depth
• Robust Statistics
• Robust estimators and tests for bivariate copulas based on likelihood depth
• Robust forecasting with exponential and Holt-Winters smoothing
• Robust non-parametric smoothing of non-stationary time series
• Simplified simplicial depth for regression and autoregressive growth processes
• THE SIGN TEST FOR STOCHASTIC PROCESSES
• Tests for multiple regression based on simplicial depth
• Trimmed stable 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

Describes a project that uses

Uses Software

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

This page was built for publication: Tests based on simplicial depth for AR(1) models with explosion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2830680)