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Non-parametric tests in AR models with applications to climatic data

✍ Scribed by Marc Hallin; Toufik Zahaf; Jana Jurečková; Jaroslava Kalvova; Jan Picek

Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
158 KB
Volume
8
Category
Article
ISSN
1180-4009

No coin nor oath required. For personal study only.

✦ Synopsis

New non-parametric tests of the order of the autoregression in a time series model were recently developed by Hallin and JurecAE kova . The main tool of these tests is the autoregression rank scores. After a brief description of the tests, their performance on simulated AR(1) time series is illustrated with the normal, Laplace and Cauchy innovation densities and they are applied to series of daily maximum temperatures recorded in three stations in south Moravia.

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