Extreme Value Theory Filtering Techniques for Outlier Detection

Jose Olmo

Working Papers from Department of Economics, City University London

Abstract: We introduce asymptotic parameter-free hypothesis tests based on extreme value theory to detect outlying observations in finite samples. Our tests have nontrivial power for detecting outliers for general forms of the parent distribution and can be implemented when this is unknown and needs to be estimated. Using these techniques this article also develops an algorithm to uncover outliers masked by the presence of influential observations.

Keywords: Extreme value theory; Hypothesis tests; Outlier detection; Power function; Robust estimation (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cty:dpaper:09/09

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