Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models

Søren Johansen, Bent Nielsen
2016 Scandinavian Journal of Statistics  
Outlier detection algorithms are intimately connected with robust statistics that down-weight some observations to zero. We de...ne a number of outlier detection algorithms related to the Huber-skip and the Least Trimmed Squares estimators, including the 1-step Huber skip estimator and the Forward Search. Next, we review a recently developed asymptotic theory of these. Finally, we analyze the gauge, the fraction of wrongly detected outliers, for a number of outlier detection algorithms and
more » ... lish an asymptotic normal and a Poisson theory for the gauge.
doi:10.1111/sjos.12174 fatcat:cjrtmqfc5ng73kkflyaf3waepu