A test for additive outliers applicable to long-memory time series
type: Item
instance of: scholarly article
title: A test for additive outliers applicable to long-memory time series
zbMATH Open document ID: 1200.62102
author: Patrick Chareka
author: Florance Matarise
author: Rolf Turner
publication date: 2008-11-25T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 5373157
zbMATH Keywords: Gaussian distribution
zbMATH Keywords: extreme value distributions
zbMATH Keywords: Gumbel distribution
zbMATH Keywords: Berman condition
zbMATH Keywords: normalization constants
describes a project that uses: longmemo
MaRDI profile type: Publication
full work available at URL: j.jedc.2005.01.003
OpenAlex ID: W2086616687
cites work: EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
cites work: Q3779565
cites work: Q4865042
cites work: Fourier analysis of time series. An introduction.
cites work: Intervention Analysis with Applications to Economic and Environmental Problems
cites work: LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
cites work: Q5629053
cites work: Q4343010
cites work: Q4162318
cites work: Q4298915
cites work: Q4666962
cites work: Fractional differencing
cites work: Extremal theory for stochastic processes
cites work: Extremes and related properties of random sequences and processes
cites work: Measures of multivariate skewness and kurtosis with applications
cites work: Q4114625
cites work: ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
cites work: Properties of two tests for outliers in multivariate data
cites work: Q3992561
cites work: ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
DOI: 10.1016/J.JEDC.2005.01.003
published in: Journal of Economic Dynamics and Control
Recommended article: A bootstrap test for additive outliers in non-stationary time series
Recommended article: SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
Recommended article: Robust estimation in long-memory processes under additive outliers
Recommended article: Detection of additive outliers in bilinear time series
Recommended article: A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
Recommended article: Robust Dickey-Fuller tests based on ranks for time series with additive outliers
Recommended article: Q4286785
Recommended article: Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier
description: scientific article; zbMATH DE number 5373157