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

DOI10.1016/J.JEDC.2005.01.003zbMATH Open1200.62102OpenAlexW2086616687MaRDI QIDQ956520FDOQ956520

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

Recommendations

• A bootstrap test for additive outliers in non-stationary time series
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Robust estimation in long-memory processes under additive outliers
• Detection of additive outliers in bilinear time series
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• scientific article; zbMATH DE number 548901
• Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier

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)

Cites Work

• Title not available (Why is that?)
• Extremes and related properties of random sequences and processes
• Fractional differencing
• Title not available (Why is that?)
• Extremal theory for stochastic processes
• Measures of multivariate skewness and kurtosis with applications
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Title not available (Why is that?)
• Fourier analysis of time series. An introduction.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Title not available (Why is that?)
• Intervention Analysis with Applications to Economic and Environmental Problems
• Title not available (Why is that?)
• Title not available (Why is that?)
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• Properties of two tests for outliers in multivariate data
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS

Cited In (11)

• On maxima of chi-processes over threshold dependent grids
• A comparative note about estimation of the fractional parameter under additive outliers
• A bootstrap test for additive outliers in non-stationary time series
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Almost sure central limit theorems for the maxima of Gaussian functions
• 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
• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• A note on the Berman condition
• Title not available (Why is that?)

Uses Software

• longmemo

This page was built for publication: A test for additive outliers applicable to long-memory time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956520)