Outlier detection tests based on martingale estimating equations for stochastic processes

DOI10.1016/0304-4149(94)90073-6zbMATH Open0808.62075OpenAlexW2089984037MaRDI QIDQ1343589FDOQ1343589

Richard Huggins

Publication date: 19 January 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90073-6

zbMATH Keywords

regression modelautoregressive processsign testautoregressive errorsfunctions of estimated residualsoutlier detection testrobustified score test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• THE SIGN TEST FOR STOCHASTIC PROCESSES
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• Robust Estimation of the First-Order Autoregressive Parameter
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• Optimal robust estimation for discrete time stochastic processes
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• Outlier-detection tests and robust estimators based on signs of residuals
• A short-cut test for outliers using residuals

Cited In (4)

• An outlier test for linear processes
• On tests for outliers
• THE DETECTION OF A SINGLE ADDITIVE OUTLIER OF UNKNOWN POSITION
• Detection of outliers in linear model when the regression parameters are stochastic

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