An outlier test for linear processes — II. Large contamination |
| |
Authors: | Thomas Flak Wolfgang Schmid |
| |
Affiliation: | 1. Universit?t Ulm, Abteilung Stochastik, 89069, Ulm, Germany
|
| |
Abstract: | In Flak/Schmid (1993) an outlier test for linear processes was introduced. The test statistic bases on a comparison of each observation with a one-step predictor. It was assumed that an upper bound for the total number of outlierss n is known, wheren denotes the sample size. The asymptotic distribution of the test statistic was derived under the assumption thats n/n → 0 ands n → ∞ asn → ∞. This note deals with the asymptotic behaviour of this quantity, ifs n/n →p 0 ∈ (0, 1). |
| |
Keywords: | Outlier ARMA process linear process outlier test |
本文献已被 SpringerLink 等数据库收录! |