A test for additive outliers applicable to long-memory time series
From MaRDI portal
Publication:956520
DOI10.1016/j.jedc.2005.01.003zbMath1200.62102MaRDI QIDQ956520
Rolf Turner, Patrick Chareka, Florance Matarise
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.01.003
extreme value distributions; Gaussian distribution; Gumbel distribution; normalization constants; Berman condition
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Related Items
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes, Robust estimation in long-memory processes under additive outliers, A note on the Berman condition, Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
Uses Software
Cites Work
- Extremes and related properties of random sequences and processes
- Extremal theory for stochastic processes
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- Fractional differencing
- Properties of two tests for outliers in multivariate data
- Intervention Analysis with Applications to Economic and Environmental Problems
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
- EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
- Measures of multivariate skewness and kurtosis with applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item