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

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

Richard M. Huggins, R. G. jun. Staudte, 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

robustness; time series; quadratic forms; local alternatives; estimating equation; Wald statistics; asymptotic relative efficiencies; robust M-estimators; first-order autoregressive processes; empirical power comparisons; modified maximum likelihood equations; Rao score statistics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)

62F05: Asymptotic properties of parametric tests

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