The distribution of test statistics for outlier detection in heavy-tailed samples

DOI10.1016/S0895-7177(01)00125-XzbMath1003.62009OpenAlexW1987394331MaRDI QIDQ1600537

Svetlozar T. Rachev, Gennady Samorodnitsky, Stefan Mittnik

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00125-x

zbMATH Keywords

infinite variancerobust statisticsrisk managementfinancial modeling

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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• On Some Tests of Hypotheses Relating to the Exponential Distribution when Some Outliers are Present
• THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION

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