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Stochastic Processes and their Applications 1
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Outlier detection tests based on martingale estimating equations for stochastic processes
Huggins, R. M. - In: Stochastic Processes and their Applications 53 (1994) 2, pp. 393-402
An outlier detection test related to a robustified score test is proposed and compared with the sign test and other test based on functions of estimated residuals. Examples of an autoregressive process and a regression model with autoregressive errors are presented to illustrate the techniques.
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