Geodesic
Robustness of GM-tests in autoregression against outliers
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2012), pp. 48-51 Cet article a éte moissonné depuis la source Math-Net.Ru

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The article deals with properties of GM-estimators and GM-tests for linear hypotheses in AR(p)-processes when the observations contain outliers. In particular, we obtain the marginal distribution of test statistics, which allows us to prove the robustness of these GM-tests. The scheme of data contamination by additive single outliers with the intensity $O(n^{-1/2})$, where $n$ is the data level, is considered. 
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     title = {Robustness of {GM-tests} in autoregression against outliers},
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D. M. Esaulov. Robustness of GM-tests in autoregression against outliers. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2012), pp. 48-51. http://geodesic.mathdoc.fr/item/VMUMM_2012_2_a10/

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