Robustness of GM-tests against outliers in autoregression / D. M. Esaulov. //Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2012. № 2. P. 48-51 [Moscow Univ. Math. Bulletin. Vol. 67, N 2, 2012.].
The article deals with properties of GM-estimators and GM-tests for linear hypotheses in AR(p)-processes when the observations contain outliers. In particular, we obtain the marginal distribution of test statistics, which allows us to prove the robustness of these GM-tests. The scheme of data contamination by additive single outliers with the intensity O(n-1/2), where n is the data level, is considered.
Key words: robustness, conjecture checking, autoregression, GM-estimators, GM-tests.