ROBUST SIGN TEST FOR THE UNIT ROOT HYPOTHESIS OF AUTOREGRESSION

被引：0

作者：

Boldin, M., V ^{[1
]}

机构：

[1] Moscow MV Lomonosov State Univ, Moscow, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2019年 / 63卷 / 03期

关键词：

hypotheses testing; autoregression; unit root; sign tests; contaminations; qualitative robustness;

D O I：

10.1137/S0040585X97T989106

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An AR(1)-model is considered with autoregression observations that contain gross errors (contaminations) with unknown arbitrary distribution. The unit root hypothesis for autoregression is tested. A special sign test is proposed as an alternative to the least-square test (the latter test is not applicable in this setting). The sign test is shown to be locally qualitatively robust in terms of the equicontinuity of the power.

引用

页码：351 / 363

页数：13

共 11 条

[1] Local robustness of sign tests in AR(1) against outliers [J].