A test for additive outliers applicable to long-memory time series

DOI10.1016/J.JEDC.2005.01.003MaRDI QIDQ956520zbMATH OpenOpenAlexFDO

Authors Patrick Chareka, Florance Matarise, Rolf Turner

Publication date 25 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2005.01.003

zbMATH Keywords

Gaussian distributionGumbel distributionextreme value distributionsnormalization constantsBerman condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20)

Recommendations

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Cited in

(11)

• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• A bootstrap test for additive outliers in non-stationary time series
• A comparative note about estimation of the fractional parameter under additive outliers
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• Almost sure central limit theorems for the maxima of Gaussian functions
• On maxima of chi-processes over threshold dependent grids
• Robust estimation in long-memory processes under additive outliers
• Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
• A note on the Berman condition
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• scientific article; zbMATH DE number 4169910 (Why is no real title available?)

Describes a project that uses

Uses Software

• longmemo

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