Robustness of GM-tests in autoregression against outliers

DOI10.3103/S0027132212020088zbMath1267.62088MaRDI QIDQ355295

D. M. Esaulov

Publication date: 24 July 2013

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

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

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On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests ⋮ Residual empirical processes and their application to GM-testing for the autoregression order ⋮ Residual empirical processes and qualitatively robust GM-tests in autoregression

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