Extreme Value Theory Filtering Techniques for Outlier Detection

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.

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Year of publication:	2009
Authors:	Olmo, J.
Institutions:	Department of Economics, City University
Subject:	Extreme value theory \| Hypothesis tests \| Outlier detection \| Power function \| Robust estimation

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011268975