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

Hocine Fellag

Discussiones Mathematicae Probability and Statistics (2001)

  • Volume: 21, Issue: 1, page 11-20
  • ISSN: 1509-9423

Abstract

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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.

How to cite

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Hocine Fellag. "Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case." Discussiones Mathematicae Probability and Statistics 21.1 (2001): 11-20. <http://eudml.org/doc/287623>.

@article{HocineFellag2001,
abstract = {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.},
author = {Hocine Fellag},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive model; exponential distribution; outlier; test},
language = {eng},
number = {1},
pages = {11-20},
title = {Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case},
url = {http://eudml.org/doc/287623},
volume = {21},
year = {2001},
}

TY - JOUR
AU - Hocine Fellag
TI - Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case
JO - Discussiones Mathematicae Probability and Statistics
PY - 2001
VL - 21
IS - 1
SP - 11
EP - 20
AB - 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.
LA - eng
KW - autoregressive model; exponential distribution; outlier; test
UR - http://eudml.org/doc/287623
ER -

References

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  1. [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. Zbl0604.62087
  2. [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. Zbl0871.62020
  3. [3] A.J. Fox, Outliers in time series, J. Roy. Stat. Soc. 34 (B) (1972), 350-363. Zbl0249.62089
  4. [4] D.P. Gaver and P.A.W. Lewis, First-order autoregressive Gamma sequences and point process, Adv. Appl. Prob. 12 (1980), 727-745. Zbl0453.60048
  5. [5] G. Saporta, Probabilités, Analyses des données et Statistique, Technip Ed. (1990). 
  6. [6] M.A.A. Turkman, Bayesian analysis of an autoregressive process with exponential white noise, Statistics 21 (4) (1990), 601-608. Zbl0723.62051

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