Abstract
In Flak/Schmid (1993) an outlier test for linear processes was introduced. The test statistic bases on a comparison of each observation with a one-step predictor. It was assumed that an upper bound for the total number of outlierss n is known, wheren denotes the sample size. The asymptotic distribution of the test statistic was derived under the assumption thats n/n → 0 ands n → ∞ asn → ∞. This note deals with the asymptotic behaviour of this quantity, ifs n/n →p 0 ∈ (0, 1).
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Flak, T., Schmid, W. An outlier test for linear processes — II. Large contamination. Metrika 43, 31–42 (1996). https://doi.org/10.1007/BF02613895
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DOI: https://doi.org/10.1007/BF02613895