Tests based on simplicial depth for AR (1) models with explosion

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dc.contributor.authorLeucht, Anne
dc.contributor.authorKustosz, Christoph P.
dc.contributor.authorMüller, Christine H.
dc.date.accessioned2014-10-09T08:05:26Z
dc.date.available2014-10-09T08:05:26Z
dc.date.issued2014-10-09
dc.description.abstractWe propose an outlier robust and distributions-free test for the explosive AR(1) model with intercept based on simplicial depth. In this model, simplicial depth reduces to counting the cases where three residuals have alternating signs. Using this, it is shown that the asymptotic distribution of the test statistic is given by an integrated two-dimensional Gaussian process. Conditions for the consistency of the test are given and the power of the test at finite samples is compared with five alternative tests, using errors with normal distribution, contaminated normal distribution, and Frechet distribution in a simulation study. The comparisons show that the new test outperforms all other tests in the case of skewed errors and outliers. Although here we deal with the AR(1) model with intercept only, the asymptotic results hold for any simplicial depth which reduces to alternating signs of three residuals.en
dc.identifier.urihttp://hdl.handle.net/2003/33642
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15550
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;34/2014
dc.subjectalternating signsen
dc.subjectpower comparisonen
dc.subjectconsistencyen
dc.subjectasymptotic distributionen
dc.subjectsimplicial depthen
dc.subjectrobustnessen
dc.subjectdistribution-free testen
dc.subjectexplosionen
dc.subjectautoregressionen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleTests based on simplicial depth for AR (1) models with explosionen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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