A score test for outlier detection in AR models

MaRDI QIDQ3499476zbMATH OpenFDO

Authors Hamid Louni

Publication date 29 May 2008

Full work available at URL http://pphmj.com/abstract/2951.htm

zbMATH Keywords

additive outlierinnovation outlierpowerprobability of good complete decisionstime series

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited in

(5)

• Outlier detection tests based on martingale estimating equations for stochastic processes
• Analysis of the performance of test statistics for detection of outliers (additive, innovative, transient, and level shift) in AR(1) processes
• Outlier detection in ARMA models
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Identification of a Type I Outlier in an Autoregressive Model

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