Robust tests for time series with an application to first-order autoregressive processes

DOI10.1093/biomet/72.3.559zbMath0604.62086OpenAlexW2138525935MaRDI QIDQ3740860

R. G. jun. Staudte, Richard M. Huggins, Ishwar V. Basawa

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.3.559

zbMATH Keywords

robustnesstime seriesquadratic formslocal alternativesestimating equationWald statisticsasymptotic relative efficienciesrobust M-estimatorsfirst-order autoregressive processesempirical power comparisonsmodified maximum likelihood equationsRao score statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Asymptotic properties of parametric tests (62F05)

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