Thesis

Asymptotic analysis of outliers dectection algorithms using a new empirical process result

Abstract:

The Robustified Least Squares and the Impulse Indicator Saturation are iterative algorithms concerned with detecting outliers and other unsuspected structures in data. These two algorithms are constructed when the full or split sample least squares are chosen as the initial estimators for the iterated 1-step Huber-skip M-estimator. These methods classify observations as outliers or not. This paper establishes an asymptotic theory considering the role of the varying cut-off in such algorith...

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Division:
SSD
Department:
Economics

Contributors

Role:
Supervisor
Type of award:
MPhil
Level of award:
Masters
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects: