Detecting atypical observations in financial data: the forward search for elliptical copulas

DOI10.1007/S11634-010-0072-5MaRDI QIDQ2442791zbMATH OpenOpenAlexFDO

Authors Tiziano Bellini

Publication date 1 April 2014

Published in Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11634-010-0072-5

zbMATH Keywords

copulasforward searchsquared Mahalanobis distance

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• The forward search: theory and data analysis
• The Forward Search
• An empirical analysis of multivariate copula models
• Analyzing Financial Time Series through Robust Estimators
• Copula structure analysis based on extreme dependence

Cites work

• An introduction to copulas. Properties and applications
• Extensions of the Forward Search to Time Series
• Fast calibrations of the forward search for testing multiple outliers in regression
• Finding an unknown number of multivariate outliers
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Least Median of Squares Regression
• Robust diagnostic regression analysis
• Transformation of non positive semidefinite correlation matrices

Cited in

(4)

• Integrated bank risk modeling: a bottom-up statistical framework
• Analysis of the forward search using some new results for martingales and empirical processes
• Forward search outlier detection in data envelopment analysis
• Conformal normal curvature and detection of masked observations in multivariate null intercept measurement error models

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