Additive Outlier Detection Via Extreme-Value Theory

DOI10.1111/j.1467-9892.2006.00483.xzbMath1112.62086MaRDI QIDQ3440763

A. M. Robert Taylor, Peter Burridge

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00483.x

zbMATH Keywords

Gumbel distribution; unit root process; spacing; domain of max-attraction; Perron-Rodriguez test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference

Related Items

Procedure to identify outliers through cumulative distribution of extremes in a Gamma response model, Behavior of the Size in the Unit Root Testing Under Contamination, Robust methods for detecting multiple level breaks in autocorrelated time series, Bounds, Breaks and Unit Root Tests, Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series, A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers, A bootstrap test for additive outliers in non-stationary time series, Innovational Outliers in INAR(1) Models, ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS

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