Extreme Value Theory Filtering Techniques for Outlier Detection
Olmo, J. (2009). Extreme Value Theory Filtering Techniques for Outlier Detection (09/09). London, UK: Department of Economics, City University London.
Abstract
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.
| Publication Type: | Monograph (Discussion Paper) |
|---|---|
| Additional Information: | © 2009 the author |
| Publisher Keywords: | Extreme value theory, Hypothesis tests, Outlier detection, Power function, Robust estimation |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | School of Policy & Global Affairs > Economics > Discussion Paper Series |
Preview
Download (316kB) | Preview
Official URL: http://www.city.ac.uk/social-sciences/economics/re...
Export
Downloads
Downloads per month over past year
Metadata
Metadata
MetadataAltmetric
CORE (COnnecting REpositories)
Actions (login required)
Actions (login required)
Admin Login