Robustness of sign tests in autoregression

DOI10.3103/S0027132212030059zbMath1417.62239MaRDI QIDQ355271

Mikhaĭl Vasil'evich Boldin

Publication date: 24 July 2013

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

autoregression

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

Related Items (1)

Rank-based testing for semiparametric VAR models: a measure transportation approach

Cites Work

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• Aligned rank tests for linear models with autocorrelated error terms
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• Local robustness of sign tests in AR(1) against outliers
• LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
• A General Qualitative Definition of Robustness

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