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

100%

Fellag H.

Discussiones Mathematicae Probability and Statistics

2001

tom 21

nr 1

11-20

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.

Characteristic properties of generalized order statistics from exponential distributions

88%

Kamps U., Gather U.

Applicationes Mathematicae

1996-1997

tom 24

nr 4

383-391

Exponential distributions are characterized by distributional properties of generalized order statistics. These characterizations include known results for ordinary order statistics and record values as particular cases.

Neighbourhoods of independence and associated geometry in manifolds of bivariate Gaussian and Freund distributions

75%

Arwini K., Dodson C.

Open Mathematics

2007

tom 5

nr 1

50-83

We provide explicit information geometric tubular neighbourhoods containing all bivariate distributions sufficiently close to the cases of independent Poisson or Gaussian processes. This is achieved via affine immersions of the 4-manifold of Freund bivariate distributions and of the 5-manifold of bivariate Gaussians. We provide also the α-geometry for both manifolds. The Central Limit Theorem makes our neighbourhoods of independence limiting cases for a wide range of bivariate distributions; the topological character of the results makes them stable under small perturbations, which is important for applications in models of stochastic processes.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Discussiones Mathematicae Probability and Statistics

1 Open Mathematics

1 Arwini K.

1 Dodson C.

1 Fellag H.

1 Gather U.

1 Kamps U.

1 2007

1 2001

1 1997

Wyniki wyszukiwania

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

Characteristic properties of generalized order statistics from exponential distributions

Neighbourhoods of independence and associated geometry in manifolds of bivariate Gaussian and Freund distributions