Robust estimators are determined using the minimum disparity estimation method (Lindsay, 1994; Basu and Lindsay, 1994) in the errors-in-variables model. These estimators are asymptotically fully efficient for the model considered and have strong robustness features. In a numerical example these...

A general class of goodness-of-fit tests called disparity tests containing the family of power weighted divergence statistics as a subclass is considered. Under the simple and composite null hypotheses the asymptotic distribution of disparity tests is shown to be chi-square. It is also shown...

For an ARIMA(0,1,q) model having an autoregressive unit root with an irregularly observed sample we propose a unit root test based on instrumental variable estimation. The test is shown to have the same asymptotic distribution as the ordinary least squares estimator of the unit root in an AR(1)...

The exact availability and the limiting average availability of a periodically inspected system, supported by a spare and maintained with perfect repairs or upgrades, are obtained for arbitrary life-, repair- and upgrade-time distributions. Illustrative examples, graphs and table are presented.

An ARIMA(p,1,0) signal contaminated by MA(q) noise is a restricted ARIMA(p,1,p + q + 1) process. For this model restricted by nonlinear constraints, it is shown that the maximum likelihood estimator of the unit root is strongly consistent and its limiting distribution is the same as that of the...

Effects of additive and innovational outliers on unit root tests in ARIMA(p, 1, q) models are investigated. The limiting distribution of the ordinary least-squares estimator of the unit root parameter in the AR(1) model is affected by additive outliers but is unaffected by innovational outliers....