An outlier test for linear processes (Q685769)

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An outlier test for linear processes
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    An outlier test for linear processes (English)
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    18 October 1993
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    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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    robust estimates
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    linear process
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    observed process
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    outlier test
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    squared standardized white noise
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    domain of attraction
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    Gumbel distribution
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    Gaussian white noise
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