Outlier detection tests based on martingale estimating equations for stochastic processes

DOI10.1016/0304-4149(94)90073-6MaRDI QIDQ1343589zbMATH OpenOpenAlexFDO

Authors 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)

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Cited in

(11)

• A sequential testing procedure for outliers and structural change
• THE DETECTION OF A SINGLE ADDITIVE OUTLIER OF UNKNOWN POSITION
• Detection of outliers in linear model when the regression parameters are stochastic
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Outlier-resistant algorithms for detecting a change in a stochastic process
• An outlier test for linear processes
• On tests for outliers
• A comparison of distribution test statistics for detecting outliers in dataset
• Outlier detection in general spatial model
• Robust test for detecting outliers in periodic processes using modified Hampel's statistic
• Extending the Hausman test to check for the presence of outliers

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