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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:53

Article

关键词: OUTLIER DETECTION;    ESTIMATING FUNCTION;   

DOI  :  10.1016/0304-4149(94)90073-6

来源: Elsevier

【 摘 要 】

An outlier detection test related to a robustified score test is proposed and compared with the sign test and other tests based on functions of estimated residuals. Examples of an autoregressive process and a regression model with autoregressive errors are presented to illustrate the techniques.

【 授权许可】

Free