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).
Key Words
Outlier ARMA process linear process outlier testPreview
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