Local power of Kolmogorov's and omega-squared type criteria in autoregression

DOI10.3103/S002713221906007XzbMath1445.62219OpenAlexW3003934050MaRDI QIDQ785922

Mikhaĭl Vasil'evich Boldin

Publication date: 12 August 2020

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

Full work available at URL: https://doi.org/10.3103/s002713221906007x

zbMATH Keywords

autoregressiondistribution of innovationsstationary AR(\(p\)) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Stationary stochastic processes (60G10)

Cites Work

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• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests

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