Outlier detection tests based on martingale estimating equations for stochastic processes

R. M. Huggins

Stochastic Processes and their Applications, 1994, vol. 53, issue 2, 393-402

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

Keywords: Outlier; detection; Estimating; function (search for similar items in EconPapers)
Date: 1994
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