Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case

• Autorzy: Hocine Fellag
• Języki publikacji: EN

Abstrakty

EN

The testing problem on the first-order autoregressive parameter in finite sample case is considered. The innovations are distributed according to the exponential distribution. The aim of this paper is to study how much the size of this test changes when, at some time k, an innovation outlier contaminant occurs. We show that the test is rather sensitive to these changes.

Słowa kluczowe

EN

autoregressive model; exponential distribution; outlier; test

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2001
• Tom: 21
• Numer: 1
• Strony: 11-20

Daty

wydano

2001

otrzymano

2000-04-10

poprawiono

2001-05-07

Twórcy

autor

Hocine Fellag

• Department of Mathematics, Faculty of Sciences, University of Tizi-Ouzou, Tizi-Ouzou, 15000 Algeria

Bibliografia

• [1] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive schemes, Communication in Statistics, Theory and Methods, 15 (8) (1986), 2267-2293.
• [2] Y. Berkoun, H. Fellag, M. Ibazizen and R. Zieliński, Maximal size of the student and the Anova tests under exactly one contaminant, Journal of Mathematical Sciences 81, (5) (1996), 2900-2904.
• [3] A.J. Fox, Outliers in time series, J. Roy. Stat. Soc. 34 (B) (1972), 350-363.
• [4] D.P. Gaver and P.A.W. Lewis, First-order autoregressive Gamma sequences and point process, Adv. Appl. Prob. 12 (1980), 727-745.
• [5] G. Saporta, Probabilités, Analyses des données et Statistique, Technip Ed. (1990).
• [6] M.A.A. Turkman, Bayesian analysis of an autoregressive process with exponential white noise, Statistics 21 (4) (1990), 601-608.

Identyfikatory

DOI

10.7151/dmps.1017