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Hocine Fellag, Safia Abdouche (2002)
Discussiones Mathematicae Probability and Statistics
The one sided unit root test of a first-order autoregressive model in the presence of an additive outlier is considered. In this paper, we present a formula to compute the size and the power of the test when an AO (additive outlier) occurs at a time k. A small sample case is considered only.
Lynda Atil, Hocine Fellag, Karima Nouali (2006)
Discussiones Mathematicae Probability and Statistics
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.
Angel Felipe Ortega (1988)
Trabajos de Estadística
Se estudia un método de estimación paramétrica basado en la minimización del estadístico Dn de Kolmogorov-Smirnov. Se prueba la existencia y unicidad de este estimador en familias de distribuciones monótonas en alguno de sus parámetros y se compara computacionalmente con el método de máxima verosimilitud.
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