Robustness of Sign Tests for Testing Hypotheses about Order of Autoregression

DOI10.1137/S0040585X97986242zbMath1281.62189OpenAlexW2053184017MaRDI QIDQ2874142

Mikhaĭl Vasil'evich Boldin

Publication date: 28 January 2014

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986242

zbMATH Keywords

robustness against outliersequicontinuity of power

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)

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Robust Sign Test for the Unit Root Hypothesis of Autoregression ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach

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