Robust Sign Test for the Unit Root Hypothesis of Autoregression

DOI10.1137/S0040585X97T989106zbMath1411.62250OpenAlexW2911941488WikidataQ128439635 ScholiaQ128439635MaRDI QIDQ4618060

Mikhaĭl Vasil'evich Boldin

Publication date: 7 February 2019

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

Full work available at URL: https://doi.org/10.1137/s0040585x97t989106

zbMATH Keywords

unit rootautoregressionhypotheses testingsign testsqualitative robustnesscontaminations

Mathematics Subject Classification ID

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

Cites Work

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• Influence functionals for time series (with discussion)
• Asymptotic inference for nearly nonstationary AR(1) processes
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Qualitative robustness of rank tests
• Local robustness of sign tests in AR(1) against outliers
• Weighted Dickey-Fuller processes for detecting stationarity
• Robustness of Sign Tests for Testing Hypotheses about Order of Autoregression
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Sign tests in the simplest auto-regression with coefficient from $ \mathbb{R}^1$

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