OUTLIER DETECTION TESTS BASED ON MARTINGALE ESTIMATING EQUATIONS FOR STOCHASTIC-PROCESSES

Authors
HUGGINS RM
Citation
Rm. Huggins, OUTLIER DETECTION TESTS BASED ON MARTINGALE ESTIMATING EQUATIONS FOR STOCHASTIC-PROCESSES, Stochastic processes and their applications, 53(2), 1994, pp. 393-402
Citations number
22
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
53
Issue
2
Year of publication
1994
Pages
393 - 402
Database
ISI
SICI code
0304-4149(1994)53:2<393:ODTBOM>2.0.ZU;2-Q
Abstract
An outlier detection test related to a robustified score test is propo sed and compared with the sign test and other tests based on functions of estimated residuals. Examples of an autoregressive process and a r egression model with autoregressive errors are presented to illustrate the techniques.