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Asymptotic analysis of the Forward Search

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  • Søren Johansen

    ()
    (University of Copenhagen and CREATES)

  • Bent Nielsen

    ()
    (Nuffield College & Department of Economics, University of Oxford & Institute for New Economic Thinking at the Oxford Martin School.)

Abstract

The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is made. The argument involves theory for a new class of weighted and marked empirical processes, quantile process theory, and a fixed point argument to describe the iterative element of the procedure.

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File URL: ftp://ftp.econ.au.dk/creates/rp/13/rp13_05.pdf
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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2013-05.

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Length: 39
Date of creation: 02 Oct 2013
Date of revision:
Handle: RePEc:aah:create:2013-05

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Web page: http://www.econ.au.dk/afn/

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Keywords: Fixed point result; Forward Search; quantile process; weighted and marked empirical process;

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  1. E ric E ngler & B ent N ielsen, 2009. "The empirical process of autoregressive residuals," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, 07.
  2. Marco Riani & Anthony C. Atkinson & Andrea Cerioli, 2009. "Finding an unknown number of multivariate outliers," LSE Research Online Documents on Economics 30462, London School of Economics and Political Science, LSE Library.
  3. Marco Riani & Anthony C. Atkinson & Andrea Cerioli, 2009. "Finding an unknown number of multivariate outliers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 447-466.
  4. Bent Nielsen & Soren Johansen, 2010. "Discussion of The Forward Search: Theory and Data Analysis," Economics Series Working Papers 2010-W02, University of Oxford, Department of Economics.
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