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Robustness of sign tests in autoregression |
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| Authors: | M. V. Boldin |
| Affiliation: | 1. Faculty of Mechanics and Mathematics, Moscow State University, Leninskie Gory, Moscow, 119991, Russia |
| Abstract: | The robustness of sign tests in autoregression against outliers is studied. The local scheme of observations contamination by additive isolated outliers with the intensity O(n ?1/2) is considered, n is the number of observations. |
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