Robustness of GM-tests in autoregression against outliers

DOI10.3103/S0027132212020088MaRDI QIDQ355295zbMATH OpenFDO

Authors D. M. Esaulov

Publication date 24 July 2013

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• A General Qualitative Definition of Robustness
• Influence functionals for time series (with discussion)
• Local robustness of sign tests in AR(1) against outliers
• Qualitative robustness for stochastic processes
• Qualitative robustness of rank tests
• Time series: theory and methods.

Cited in

(8)

• On the power of Pearson's test under local alternatives in autoregression with outliers
• Local robustness of sign tests in AR(1) against outliers
• Robustness of sign tests for testing hypotheses about order of autoregression
• Residual empirical processes and their application to GM-testing for the autoregression order
• Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier
• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
• Robustness of sign tests in autoregression
• Residual empirical processes and qualitatively robust GM-tests in autoregression

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