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Asymptotic analysis of the Forward Search
Nielsen, Bent; Johansen, Søren - Economics Group, Nuffield College, University of Oxford - 2013
The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is...
Persistent link: https://www.econbiz.de/10010823429
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Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2014
We review recent asymptotic results on some robust methods for multiple regres- sion. The regressors include stationary and non-stationary time series as well as polynomial terms. The methods include the Huber-skip M-estimator, 1-step Huber-skip M-estimators, in particular the Impulse Indicator...
Persistent link: https://www.econbiz.de/10010892342
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Asymptotic analysis of the Forward Search
Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2013
The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is...
Persistent link: https://www.econbiz.de/10010851236
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Bent - Økonomisk Institut, Københavns Universitet - 2014
We review recent asymptotic results on some robust methods for multiple regression. The regressors include stationary and non-stationary time series as well as polynomial terms. The methods include the Huber-skip M-estimator, 1-step Huber-skip M-estimators, in particular the Impulse Indicator...
Persistent link: https://www.econbiz.de/10010937950
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Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2014
We review recent asymptotic results on some robust methods for multiple regression. The regressors include stationary and non-stationary time series as well as polynomial terms. The methods include the Huber-skip M-estimator, 1-step Huber-skip M-estimators, in particular the Impulse Indicator...
Persistent link: https://www.econbiz.de/10010940884
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Asymptotic analysis of the Forward Search
Nielsen, Bent; Johansen, Soren - Department of Economics, Oxford University - 2013
The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data.  This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000).  An asymptotic analysis of the Forward Search is...
Persistent link: https://www.econbiz.de/10011004393
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Asymptotic analysis of the Forward Search
Johansen, Søren; Nielsen, Bent - Økonomisk Institut, Københavns Universitet - 2013
The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is...
Persistent link: https://www.econbiz.de/10010665213