Outlier detection tests based on martingale estimating equations for stochastic processes

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

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

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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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• Outlier-detection tests and robust estimators based on signs of residuals
• A short-cut test for outliers using residuals

Cited In (11)

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

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