Outlier detection in adaptive functional-coefficient autoregressive models based on extreme value theory (Q474257): Difference between revisions
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| Property / author: Ping Chen / rank | |||
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Summary: This paper proposes several test statistics to detect additive or innovative outliers in adaptive functional-coefficient autoregressive (AFAR) models based on extreme value theory and likelihood ratio tests. All the test statistics follow a tractable asymptotic Gumbel distribution. Also, we propose an asymptotic critical value on a fixed significance level and obtain an asymptotic \(p\)-value for testing, which is used to detect outliers in time series. Simulation studies indicate that the extreme value method for detecting outliers in AFAR models is effective both for AO and IO, for a lone outlier and multiple outliers, and for separate outliers and outlier patches. Furthermore, it is shown that our procedure can reduce possible effects of masking and swamping. | |||
| Property / review text: Summary: This paper proposes several test statistics to detect additive or innovative outliers in adaptive functional-coefficient autoregressive (AFAR) models based on extreme value theory and likelihood ratio tests. All the test statistics follow a tractable asymptotic Gumbel distribution. Also, we propose an asymptotic critical value on a fixed significance level and obtain an asymptotic \(p\)-value for testing, which is used to detect outliers in time series. Simulation studies indicate that the extreme value method for detecting outliers in AFAR models is effective both for AO and IO, for a lone outlier and multiple outliers, and for separate outliers and outlier patches. Furthermore, it is shown that our procedure can reduce possible effects of masking and swamping. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F35 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M07 / rank | |||
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| Property / zbMATH DE Number: 6372716 / rank | |||
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Revision as of 17:29, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Outlier detection in adaptive functional-coefficient autoregressive models based on extreme value theory |
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Outlier detection in adaptive functional-coefficient autoregressive models based on extreme value theory (English)
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24 November 2014
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Summary: This paper proposes several test statistics to detect additive or innovative outliers in adaptive functional-coefficient autoregressive (AFAR) models based on extreme value theory and likelihood ratio tests. All the test statistics follow a tractable asymptotic Gumbel distribution. Also, we propose an asymptotic critical value on a fixed significance level and obtain an asymptotic \(p\)-value for testing, which is used to detect outliers in time series. Simulation studies indicate that the extreme value method for detecting outliers in AFAR models is effective both for AO and IO, for a lone outlier and multiple outliers, and for separate outliers and outlier patches. Furthermore, it is shown that our procedure can reduce possible effects of masking and swamping.
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