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On the limit distributions of kth order statistics for semi-pareto processes

100%

Chrapek M., Dudkiewicz J., Dziubdziela W.

Applicationes Mathematicae

1996-1997

tom 24

nr 2

189-193

Asymptotic properties of the kth largest values for semi-Pareto processes are investigated. Conditions for convergence in distribution of the kth largest values are given. The obtained limit laws are represented in terms of a compound Poisson distribution.

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Unit root test under innovation outlier contamination small sample case

88%

Atil L., Fellag H., Nouali K.

Discussiones Mathematicae Probability and Statistics

2006

tom 26

nr 1

5-17

The two sided unit root test of a first-order autoregressive model in the presence of an innovation outlier is considered. In this paper, we present three tests; two are usual and one is new. We give formulas computing the size and the power of the three tests when an innovation outlier (IO) occurs at a specified time, say k. Using a comparative study, we show that the new statistic performs better under contamination. A Small sample case is considered only.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Discussiones Mathematicae Probability and Statistics

1 Atil L.

1 Chrapek M.

1 Dudkiewicz J.

1 Dziubdziela W.

1 Fellag H.

1 Nouali K.

1 2006

1 1997

Wyniki wyszukiwania

On the limit distributions of kth order statistics for semi-pareto processes

Unit root test under innovation outlier contamination small sample case