Discussion of the Paper “Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models” by Johansen & Nielsen
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Publication:2815582
DOI10.1111/sjos.12214zbMath1419.62246MaRDI QIDQ2815582
Publication date: 29 June 2016
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/sjos.12214
false discovery rate; outlier detection; martingale inequalities; nonstationary regressors; Huber-skip estimators; one-step \(M\)-estimators; smooth outlier rejection
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G35: Nonparametric robustness
62M07: Non-Markovian processes: hypothesis testing