A Sequential Testing Procedure for Outliers and Structural Change
In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for o...
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| المؤلفون الرئيسيون: | , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
1988
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/357 |
| الوسوم: |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |
| الملخص: | In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for outliers and structural change is shown to be independent, so that the overall size of the joint test can be determined exactly. It is established that a joint test for outliers and constancy of variances cannot be performed. |
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