Abstract
We investigate the asymptotic behavior of outliers test samples statistics for drawn from heavy-tailed distributions. We extend classical results of David et al. [1] and Grubbs [2], who considered outlier test statistics for the finite-variance case, to the heavy-tailed infinite variance case. Our main result concerns the limiting distribution of n-1/2On for the outlier statistic when the observations Xi are the domain of attraction of an α-stable law. We present approximate critical values for On for finite samples using response surface methods.
Original language | English |
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Pages (from-to) | 1171-1183 |
Number of pages | 13 |
Journal | Mathematical and Computer Modelling |
Volume | 34 |
Issue number | 9-11 |
DOIs | |
State | Published - Sep 24 2001 |
Keywords
- Financial modeling
- Infinite variance
- Risk management
- Robust statistics