2013
DOI: 10.1155/2013/910828
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Abstract: This paper proposes several test statistics to detect additive or innovative outliers in adaptive functional-coefficient autoregressive (AFAR) models based on extreme value theory and likelihood ratio tests. All the test statistics follow a tractable asymptotic Gumbel distribution. Also, we propose an asymptotic critical value on a fixed significance level and obtain an asymptoticp-value for testing, which is used to detect outliers in time series. Simulation studies indicate that the extreme value method for …

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