An outlier test for linear processes

DOI10.1007/BF02613694zbMath0778.62081MaRDI QIDQ685769

Thomas Flak, Wolfgang Schmid

Publication date: 18 October 1993

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176477

zbMATH Keywords

linear processGaussian white noisedomain of attractionGumbel distributionrobust estimatesoutlier testobserved processsquared standardized white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (2)

An outlier test for linear processes. II: Large contamination ⋮ AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR

Cites Work

• Normal and stable convergence of integral functions of the empirical distribution function
• A note on the asymptotic normality of sums of extreme values
• Central limit theorems for sums of extreme values
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
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