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

Author

Listed:
  • Marc Hallin
  • Toufik Zahaf
  • Jana Jureckova
  • Jaroslava Kalvova
  • Jan Picek

Abstract

New non-parametric tests of the order of the autoregression in a time series model were recently developed by Hallin and Jurečková. 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. © 1997 John Wiley & Sons, Ltd.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Marc Hallin & Toufik Zahaf & Jana Jureckova & Jaroslava Kalvova & Jan Picek, 1997. "Non-parametric tests in ar models with applications to climatic data," ULB Institutional Repository 2013/127949, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/127949
    Note: SCOPUS: ar.j
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    Cited by:

    1. Jana Jurečková & Hira Koul & Jan Picek, 2009. "Testing the tail index in autoregressive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 579-598, September.

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