In the last few years, copulas have been widely applied in many field of studies. Concentrating our attention on financial applications, we pursue the goal to detect multivariate atypical observations by extending to elliptical copulas the forward search originally introduced in linear and...

Cointegration analysis is particularly sensitive to outlying observations. Traditional robust approaches rely on parameter estimates based on weighting schemes to penalize aberrant units. This, in particular, is the idea underlying pseudo maximum likelihood (PML) robust estimators. Atypical...

We develop a Cp statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum of...