Residual empirical processes and qualitatively robust GM-tests in autoregression
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The local qualitative robustness of GM-tests against outliers in the autoregression model is studied in the paper. A local scheme of data contamination by independent outliers with the intensity O(n −1/2) is considered. The qualitative robustness in terms of power equicontinuity is obtained. The GM-tests asymptotically optimal in the maximin sense are constructed.
KeywordsLocal Scheme Empirical Process Data Contamination Qualitative Robustness Residual Empirical Process
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