Extreme Value Theory Filtering Techniques for Outlier Detection
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References listed on IDEAS
- Armelle Guillou & Peter Hall, 2001. "A diagnostic for selecting the threshold in extreme value analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 293-305.
- Schluter, Christian & Trede, Mark, 2008. "Identifying multiple outliers in heavy-tailed distributions with an application to market crashes," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 700-713, September.
- Jesus Gonzalo, 2004.
"Which Extreme Values Are Really Extreme?,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(3), pages 349-369.
- Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society.
- Basmann, Robert L., 2003. "Statistical outlier analysis in litigation support: the case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al," Journal of Econometrics, Elsevier, vol. 113(1), pages 159-200, March.
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KeywordsExtreme value theory; Hypothesis tests; Outlier detection; Power function; Robust estimation;
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