Robustness of sign tests for testing hypotheses about order of autoregression

DOI10.1137/S0040585X97986242MaRDI QIDQ2874142zbMATH OpenOpenAlexFDO

Authors M. V. Boldin

Publication date 28 January 2014

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97986242

zbMATH Keywords

robustness against outliersequicontinuity of power

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

• Robustness of sign tests in autoregression
• Local robustness of sign tests in AR(1) against outliers
• Robust Sign Test for the Unit Root Hypothesis of Autoregression
• Residual empirical processes and their application to GM-testing for the autoregression order
• Robustness of GM-tests in autoregression against outliers

Cited in

(5)

• Local robustness of sign tests in AR(1) against outliers
• Residual empirical processes and their application to GM-testing for the autoregression order
• Robustness of sign tests in autoregression
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Robust Sign Test for the Unit Root Hypothesis of Autoregression

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