Discussion of `Asymptotic theory of outlier detection algorithms for linear time series regression models' by Johansen and Nielsen

DOI10.1111/SJOS.12210MaRDI QIDQ2815577zbMATH OpenOpenAlexFDO

Authors Anthony C. Atkinson, Andrea Cerioli, Marco Riani

Publication date 29 June 2016

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/66724/1/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Atkinson%2C%20A_Discussion%20of%20%E2%80%9CAsymptotic%20Theory%20of%20Outlier_Atkinson_Discussion_of_Asymptotic_Theory_of_Outlier.pdf

zbMATH Keywords

Mahalanobis distancerobustnessforward searchmonitoringFan plot

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• Asymptotic theory of outlier detection algorithms for linear time series regression models
• Error rates for multivariate outlier detection
• Finding an unknown number of multivariate outliers
• Monitoring robust regression
• Multivariate outlier detection with high-breakdown estimators
• On consistency factors and efficiency of robust S-estimators
• Robust diagnostic regression analysis

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