Residual empirical processes and their application to GM-testing for the autoregression order

DOI10.3103/S1066530713040042zbMath1283.62181OpenAlexW2090635565MaRDI QIDQ2439931

D. M. Esaulov

Publication date: 26 March 2014

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

Full work available at URL: https://doi.org/10.3103/s1066530713040042

zbMATH Keywords

outliersrobustnessautoregressionhypotheses testingresidual empirical processesgeneralized M-tests

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)

Related Items (1)

On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests

Cites Work

• Robustness of GM-tests in autoregression against outliers
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Testing linear hypotheses in autoregressions
• Influence functionals for time series (with discussion)
• Aligned rank tests for linear models with autocorrelated error terms
• Robust estimation of nonlinear regression with autoregressive errors.
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
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