Robust and powerful serial correlation tests with new robust estimates in ARX models

DOI10.1111/j.1467-9892.2005.00390.xzbMath1091.62070OpenAlexW3125007106MaRDI QIDQ5467593

Pierre Duchesne

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00390.x

zbMATH Keywords

robustnessasymptotic normalityautoregressive modeladditive outliersexogenous variablesserial correlationskernel statisticsconsistent and \(n^{1/2}\)-consistent estimators

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

On robust forecasting in dynamic vector time series models ⋮ On robust testing for conditional heteroscedasticity in time series models

Cites Work

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• Highly Robust Estimation of the Autocovariance Function
• On consistent testing for serial correlation of unknown form in vector time series models.
• Robust Estimation in Vector Autoregressive Moving-Average Models

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