Test for parameter change in the presence of outliers: the density power divergence-based approach

DOI10.1080/00949655.2020.1842407OpenAlexW3105058987MaRDI QIDQ5065268

Junmo Song, Jiwon Kang

Publication date: 18 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.00004

zbMATH Keywords

outliersGARCH modelsdensity power divergencerobust testtest for parameter change

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) Statistics (62-XX)

Related Items

A robust approach for testing parameter change in Poisson autoregressive models ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach

Uses Software

• robustbase

Cites Work

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