Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2014, Number 1, Pages 46–50 (Mi vmumm295)  
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Residual empirical processes and qualitatively robust GM-tests in autoregression

M. V. Boldin, D. M. Esaulov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The article deals with the local qualitative robustness of GM-tests against outliers in the autoregression model. We consider a local scheme of data contamination by independent outliers with the intensity $O(n^{-1/2}).$ The qualitative robustness in terms of power equicontinuity is obtained. The asymptotically optimal in maximin sense GM-tests are constructed.
Key words: hypotheses testing, autoregression, GM-tests, robustness, outliers.
Received: 06.02.2012
English version:
Moscow University Mathematics Bulletin, 2014, Volume 69, Issue 1, Pages 29–32
DOI: https://doi.org/10.3103/S0027132214010057
Bibliographic databases:
Document Type: Article
UDC: 519.233.3, 519.246.8
Language: Russian
Citation: M. V. Boldin, D. M. Esaulov, “Residual empirical processes and qualitatively robust GM-tests in autoregression”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2014, no. 1, 46–50; Moscow University Mathematics Bulletin, 69:1 (2014), 29–32
Citation in format AMSBIB
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\by M.~V.~Boldin, D.~M.~Esaulov
\paper Residual empirical processes and qualitatively robust GM-tests in autoregression
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2014
\issue 1
\pages 46--50
\mathnet{http://mi.mathnet.ru/vmumm295}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2014
\vol 69
\issue 1
\pages 29--32
\crossref{https://doi.org/10.3103/S0027132214010057}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84896327879}
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