Robustness of sign tests for testing hypotheses about order of autoregression

DOI10.1137/S0040585X97986242zbMATH Open1281.62189OpenAlexW2053184017MaRDI QIDQ2874142FDOQ2874142

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

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

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)

Cited In (5)

• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Robust Sign Test for the Unit Root Hypothesis of Autoregression
• 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

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