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AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO‐SIDED PREDICTOR
Author(s) -
Schmid W.
Publication year - 1996
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1996.tb00290.x
Subject(s) - outlier , mathematics , statistics , test statistic , autoregressive model , series (stratigraphy) , test (biology) , null hypothesis , econometrics , statistic , statistical hypothesis testing
. In this paper an outlier test for contaminated autoregressive processes is introduced. The test is based on a comparison of each observation with a predictor using past and future values, a so‐called two‐sided predictor. It is required that an upper bound for the total number of outliers is known. The asymptotic distribution of the test statistic is calculated under the null hypothesis that no outlier is present. The behaviour of the test for finite sample size is investigated by a simulation study. Moreover, the test is compared with several other outlier tests.