Discussion of the Paper “Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models” by Johansen & Nielsen

DOI10.1111/sjos.12214zbMath1419.62246MaRDI QIDQ2815582

Elvezio Ronchetti

Publication date: 29 June 2016

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

Full work available at URL: https://doi.org/10.1111/sjos.12214

zbMATH Keywords

false discovery rate; outlier detection; martingale inequalities; nonstationary regressors; Huber-skip estimators; one-step \(M\)-estimators; smooth outlier rejection

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G35: Nonparametric robustness

62M07: Non-Markovian processes: hypothesis testing