Burridge, P. and Taylor, A.M.R. (2006) Additive Outlier Detection via Extreme-Value Theory. Journal of Time Series Analysis, 27 (5). pp. 685-701. ISSN 0143-9782
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Additive outliers • extreme order statistics • standardized spacings |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | York RAE Import |
Date Deposited: | 30 Mar 2009 19:04 |
Last Modified: | 30 Mar 2009 19:04 |
Published Version: | http://dx.doi.org/10.1111/j.1467-9892.2006.00483.x |
Status: | Published |
Publisher: | Blackwell Publishing Ltd |
Identification Number: | 10.1111/j.1467-9892.2006.00483.x |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:6962 |