Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier

DOI10.1081/STA-120022243zbMath1197.62124OpenAlexW2019979111MaRDI QIDQ4412405

Hocine Fellag, Y. Berkoun, Ryszard Zieliński

Publication date: 14 July 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120022243

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• A Median-Unbiased Estimator of the AR(1) Coefficient
• Robust tests for time series with an application to first-order autoregressive processes
• Tests of Independence in Time Series
• Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation
• On robust estimation in the first order autoregressive processes
• Computing the distribution of quadratic forms in normal variables
• The distribution of the maximum likelihood estimator of the parameter in the first-order autoregressive series
• The Mean Square Successive Difference

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