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Moscow University Mathematics Bulletin

, Volume 69, Issue 1, pp 29–32 | Cite as

Residual empirical processes and qualitatively robust GM-tests in autoregression

  • M. V. Boldin
  • D. M. Esaulov
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Abstract

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.

Keywords

Local Scheme Empirical Process Data Contamination Qualitative Robustness Residual Empirical Process 
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Copyright information

© Allerton Press, Inc. 2014

Authors and Affiliations

  • M. V. Boldin
    • 1
  • D. M. Esaulov
    • 1
  1. 1.Faculty of Mechanics and MathematicsMoscow State UniversityLeninskie Gory, MoscowRussia

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