Robust tests for time series with an application to first-order autoregressive processes
时间序列的稳健检验及其在一阶自回归过程中的应用
Robust analogues of the Wald and the Rao score statistics are presented for testing composite hypotheses in time series models involving dependent observations. Asymptotic efficiency and empirical power comparisons using moderate size samples are given for first-order autoregressive processes. Our method of robustifying the estimating equation gives a simple and unified approach which is useful in a large class of problems including regression with dependent errors, and…