Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models

DOI10.1111/sjos.12174zbMath1419.62234OpenAlexW2556361545MaRDI QIDQ2815576

Bent Nielsen, Søren Glud Johansen

Publication date: 29 June 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/122826958/Asymptotic_Theory_of_Outlier_Detection_Algorithms_for_Linear_Time_Series_Regression_Models_accepted_manuscript_2016.pdf

zbMATH Keywords

gaugeforward searchHuber-skipimpulse indicator saturationiterated martingale inequalityiteration of one-step estimatorsone-step Huber-skiprobustified least squaresweighted and marked empirical processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)

Related Items (13)

Unnamed Item ⋮ Asymptotic Analysis of Iterated 1-Step Huber-Skip M-Estimators with Varying Cut-Offs ⋮ Robust methods for heteroskedastic regression ⋮ The Use of Prior Information in Very Robust Regression for Fraud Detection ⋮ Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change ⋮ Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector ⋮ GMDH-based outlier detection model in classification problems ⋮ Wild adaptive trimming for robust estimation and cluster analysis ⋮ Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions ⋮ Discussion of ‘Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models’ by Johansen and Nielsen ⋮ Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models ⋮ The power of monitoring: how to make the most of a contaminated multivariate sample ⋮ Heteroscedasticity testing after outlier removal

Uses Software

• R
• PcGets
• robustbase
• Ox

Cites Work

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