On Sign Tests in ARMA Models with Possibly Infinite Error Variance

DOI10.1137/S0040585X97981160zbMath1090.62091OpenAlexW1982417088MaRDI QIDQ5700642

Winfried Stute, Mikhaĭl Vasil'evich Boldin

Publication date: 28 October 2005

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

Full work available at URL: https://doi.org/10.1137/s0040585x97981160

zbMATH Keywords

infinite varianceARMA modelasymptotic uniform linearitysign and rank tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Parametric hypothesis testing (62F03)

Related Items (4)

Sign tests for long-memory time series ⋮ Local robustness of sign tests in AR(1) against outliers ⋮ Testing hypotheses on the ``drift of parameters in ARMA and ARCH models ⋮ The uniform consistency of sign estimate for the parameter of an AR(1)-model for observations with outliers

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