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Regular version of the site

Article

Robustness of GM-tests in autoregression against outliers

Moscow University Mathematics Bulletin. 2012. Vol. 67. No. 2. P. 79-81.

The paper deals with properties of GM-estimators and GM-tests for linear hypotheses in AR(p)-processes when observations contain outliers. In particular, we obtain the marginal distribution of test statistics, which allows us to prove the robustness of these GM-tests. The scheme of data contamination by additive single outliers with the intensity O(n−1/2), where n is the data level, is considered.