Tests Based on Simplicial Depth for AR(1) Models With Explosion

DOI10.1111/jtsa.12186zbMath1349.62410OpenAlexW3123972774MaRDI QIDQ2830680

Christine H. Müller, Christoph P. Kustosz, Anne Leucht

Publication date: 28 October 2016

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

Full work available at URL: http://hdl.handle.net/2003/33642

zbMATH Keywords

robustnessconsistencysimplicial depthautoregressionalternating signdistribution-free test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Sign depth tests in multiple regression ⋮ Simple powerful robust tests based on sign depth ⋮ K-sign depth: from asymptotics to efficient implementation ⋮ Simplified simplicial depth for regression and autoregressive growth processes

Uses Software

• R
• Snow
• robustbase
• Rmpi
• snow
• matrixcalc

Cites Work

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