On median estimates and tests in autoregressive models

zbMath0824.62039MaRDI QIDQ1894103

Mikhaĭl Vasil'evich Boldin

Publication date: 12 November 1995

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalityinvariance principlestationary processasymptotic powerautoregressionnonstationary modellocally most powerful testdistribution free median teststests for stationarity

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 estimation (62G05)

Related Items (4)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ Testing hypotheses on the ``drift of parameters in ARMA and ARCH models ⋮ Testing the hypothesis on the ``drift of parameters in the moving average model ⋮ Residual empirical processes and qualitatively robust GM-tests in autoregression

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