Additive Outlier Detection Via Extreme-Value Theory

DOI10.1111/j.1467-9892.2006.00483.xzbMath1112.62086OpenAlexW2101105167MaRDI QIDQ3440763

A. M. Robert Taylor, Peter Burridge

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00483.x

zbMATH Keywords

Gumbel distributionunit root processspacingdomain of max-attractionPerron-Rodriguez test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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