An outlier test for linear processes

DOI10.1007/BF02613694MaRDI QIDQ685769zbMATH OpenFDO

Authors Thomas Flak, Wolfgang Schmid

Publication date 18 October 1993

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/176477

zbMATH Keywords

domain of attractionGaussian white noiseGumbel distributionlinear processobserved processoutlier testrobust estimatessquared standardized white noise

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Let \(Y_ 1,\ldots,Y_ n\) be an undisturbed linear process. An observed process \(X_ 1,\ldots,X_ n\) coincides with \(Y_ 1,\ldots,Y_ n\) except for some outliers. Let \(s_ n\) be an upper bound for the total number of outliers. The authors consider an outlier test based on the statistic \[ T_ n = \max_{1 \leq \mu(1)<\cdots< \mu(s_ n) \leq n} \sum^{s_ n}_{i=1} \bigl( X_{\mu(i)} -\hat Y_{\mu(i)} \bigr)^ 2 \] where \(\hat Y_ t\) is a predictor of \(Y_ t\). It is assumed that \(s_ n \to \infty\), \(s_ n/n \to 0\) and that the distribution of the squared standardized white noise belongs to a subset of the domain of attraction of the Gumbel distribution; the Gaussian white noise is included. The asymptotic distribution of \(T_ n\) under the null hypothesis `no outlier' is derived.

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Cites work

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• On tests for outliers
• Outlier test in randomized linear model
• Outlier detection tests based on martingale estimating equations for stochastic processes
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• Extended tables on an approximate test for outliers in linear models
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