On Sign Tests in ARMA Models with Possibly Infinite Error Variance
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/S0040585X97981160
Reference15 articles.
1. Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages
2. RANK TESTS FOR SERIAL DEPENDENCE
3. Generalized runs tests for heteroscedastic time series
4. Linear Serial Rank Tests for Randomness Against Arma Alternatives
5. LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
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1. The uniform consistency of sign estimate for the parameter of an AR(1)-model for observations with outliers;Moscow University Mathematics Bulletin;2015-09
2. Robustness of Sign Tests for Testing Hypotheses about Order of Autoregression;Theory of Probability & Its Applications;2013-01
3. Local robustness of sign tests in AR(1) against outliers;Mathematical Methods of Statistics;2011-03
4. Testing hypotheses on the “drift” of parameters in ARMA and ARCH models;Mathematical Methods of Statistics;2009-03
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