Abstract
In the paper a new nonparametric generalized M-test for hypotheses about the order of linear autoregression AR(p) is constructed. We also establish robustness of this test in the model of data contamination by independent additive outliers with intensity O(n −1/2). Robustness is formulated in terms of limiting power equicontinuity. Test statistics are constructed with the help of residual empirical processes. We establish the asymptotic uniform linearity of these processes in the defined contamination model.
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Esaulov, D.M. Residual empirical processes and their application to GM-testing for the autoregression order. Math. Meth. Stat. 22, 333–349 (2013). https://doi.org/10.3103/S1066530713040042
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DOI: https://doi.org/10.3103/S1066530713040042