Additive outlier detection via extreme-value theory

被引:29
作者
Burridge, Peter
Taylor, A. M. Robert
机构
[1] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England
[2] City Univ London, London, England
关键词
additive outliers; extreme order statistics; standardized spacings;
D O I
10.1111/j.1467-9892.2006.00483.x
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
This article is concerned with detecting additive outliers using extreme value methods. The test recently proposed for use with possibly non-stationary time series by Perron and Rodriguez [Journal of Time Series Analysis (2003) vol. 24, pp. 193-220], is, as they point out, extremely sensitive to departures from their assumption of Gaussianity, even asymptotically. As an alternative, we investigate the robustness to distributional form of a test based on weighted spacings of the sample order statistics. Difficulties arising from uncertainty about the number of potential outliers are discussed, and a simple algorithm requiring minimal distributional assumptions is proposed and its performance evaluated. The new algorithm has dramatically lower level-inflation in face of departures from Gaussianity than the Perron-Rodriguez test, yet retains good power in the presence of outliers.
引用
收藏
页码:685 / 701
页数:17
相关论文
共 8 条
[1]  
Arnold B. C., 1998, A First Course in Order Statistics
[2]   Statistical outlier analysis in litigation support:: the case of Paul F.!Engler and Cactus Feeders, Inc., v. Oprah!Winfrey et al. [J].
Basmann, RL .
JOURNAL OF ECONOMETRICS, 2003, 113 (01) :159-200
[3]  
Cheng MY, 2002, STAT SINICA, V12, P1043
[4]  
FOX AJ, 1972, J ROY STAT SOC B, V34, P350
[5]   Innovational outlier unit root tests with an endogenously determined break in level [J].
Harvey, DI ;
Leybourne, SJ ;
Newbold, P .
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2001, 63 (05) :559-575
[6]  
Leadbetter M. R., 1983, Springer Series in Statistics, DOI 10.1007/978-1-4612-5449-2
[7]   Searching for additive outliers in nonstationary time series [J].
Perron, P ;
Rodríguez, G .
JOURNAL OF TIME SERIES ANALYSIS, 2003, 24 (02) :193-220
[8]  
WEISSMAN I, 1978, J AM STAT ASSOC, V73, P812