English, Article, Journal or magazine article edition: Extreme Value Theory Filtering Techniques for Outlier Detection Jose Olmo

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Bookmark: http://trove.nla.gov.au/version/76228
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Extreme Value Theory Filtering Techniques for Outlier Detection
Author
  • Jose Olmo
Physical Description
  • preprint
Notes
  • We introduce asymptotic parameter-free hypothesis tests based on extreme value theory to detect outlying observations infinite 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.
  • Extreme value theory, Hypothesis tests, Outlier detection, Power function, Robust estimation.
  • RePEc:cty:dpaper:0909
Language
  • English
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