The testing problem on the first-order autoregressive parameter in finite sample case is considered. The innovations are distributed according to the exponential distribution. The aim of this paper is to study how much the size of this test changes when, at some time k, an innovation outlier contaminant occurs. We show that the test is rather sensitive to these changes.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1017,
author = {Hocine Fellag},
title = {Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {21},
year = {2001},
pages = {11-20},
zbl = {0984.62064},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1017}
}
Hocine Fellag. Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case. Discussiones Mathematicae Probability and Statistics, Tome 21 (2001) pp. 11-20. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1017/
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