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Journal of Time Series Analysis
Article . 2016 . Peer-reviewed
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zbMATH Open
Article . 2016
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Tests Based on Simplicial Depth for AR(1) Models With Explosion

Tests based on simplicial depth for AR(1) models with explosion
Authors: Kustosz, C.P.; Leucht, Anne; MÜller, C.H.;

Tests Based on Simplicial Depth for AR(1) Models With Explosion

Abstract

We propose outlier a robust and distribution‐free test for the explosive AR(1) model with intercept based on simplicial depth. In this model, simplicial depth reduces to counting the cases where three residuals have alternating signs. The asymptotic distribution of the test statistic is given by a specific Gaussian process. Conditions for the consistency are given, and the power of the test at finite samples is compared with alternative tests. The new test outperforms these tests in the case of skewed errors and outliers. Finally, we apply the method to crack growth data and compare the results with an OLS approach.

Country
Germany
Keywords

simplicial depth, info:eu-repo/classification/ddc/330, consistency, 330, Nonparametric robustness, Asymptotic properties of parametric tests, autoregression, robustness, 310, 620, alternating signs, Time series, auto-correlation, regression, etc. in statistics (GARCH), alternating sign, asymptotic distribution, explosion, info:eu-repo/classification/ddc/310, power comparison, Nonparametric hypothesis testing, distribution-free test, info:eu-repo/classification/ddc/620

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    popularity
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    Top 10%
    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
8
Top 10%
Average
Average
Green
bronze