Displaying similar documents to “On the autocorrelation function of a trended series.”

Unit root test under innovation outlier contamination small sample case

Lynda Atil, Hocine Fellag, Karima Nouali (2006)

Discussiones Mathematicae Probability and Statistics

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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.

On the properties typical of economic time series.

Arthur B. Treadway (1984)

Qüestiió

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This paper summarizes the results of econometric time-series analysis performed by the author and colleagues over the last seven years, using the Box-Jenkins approach in interaction with Economic Theory. Typical univariate properties, typical data anomalies and typical relationships are described. Common practice in Econometrics is criticized and certain aspects of Economic Theory are discussed.

On equivalence and bioequivalence testing.

Jordi Ocaña, M. Pilar Sánchez O., Álex Sánchez, Josep Lluís Carrasco (2008)

SORT

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Equivalence testing is the natural approach to many statistical problems. First, its main application, bioequivalence testing, is reviewed. The basic concepts of bioequivalence testing (2×2 crossover designs, TOST, interval inclusion principle, etc.) and its problems (TOST biased character, the carryover problem, etc.) are considered. Next, equivalence testing is discussed more generally. Some applications and methods are reviewed and the relation of equivalence testing and distance-based...

Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility

D. Feldmann, W. Härdle, C. Hafner, M. Hoffmann, O. Lepski, A. Tsybakov (2003)

Applicationes Mathematicae

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Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given data set, a statistical test is required. In this paper, we develop such a test of a linear hypothesis versus a general composite nonparametric alternative using the state space representation of the SV model as an errors-in-variables AR(1) model. The power of the test is analyzed. We provide a simulation study and apply the test to...

Moderate deviations for the Durbin–Watson statistic related to the first-order autoregressive process

S. Valère Bitseki Penda, Hacène Djellout, Frédéric Proïa (2014)

ESAIM: Probability and Statistics

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The purpose of this paper is to investigate moderate deviations for the Durbin–Watson statistic associated with the stable first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We first establish a moderate deviation principle for both the least squares estimator of the unknown parameter of the autoregressive process as well as for the serial correlation estimator associated with the driven noise. It enables us to provide a moderate...