A test for additive outliers applicable to long-memory time series

DOI10.1016/j.jedc.2005.01.003zbMath1200.62102OpenAlexW2086616687MaRDI QIDQ956520

Florance Matarise, Patrick Chareka, Rolf Turner

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.01.003

zbMATH Keywords

extreme value distributionsGaussian distributionGumbel distributionnormalization constantsBerman condition

Mathematics Subject Classification ID

Related Items (7)

Almost sure central limit theorems for the maxima of Gaussian functions ⋮ Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context ⋮ A note on the Berman condition ⋮ On maxima of chi-processes over threshold dependent grids ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers ⋮ Robust estimation in long-memory processes under additive outliers ⋮ Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes

Uses Software

• longmemo

Cites Work

• Extremes and related properties of random sequences and processes
• Extremal theory for stochastic processes
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Fractional differencing
• Properties of two tests for outliers in multivariate data
• Intervention Analysis with Applications to Economic and Environmental Problems
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
• Measures of multivariate skewness and kurtosis with applications
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