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Outlier detection and robust estimation in linear regression models with fixed group effects

✍ Scribed by Pérez, Betsabé; Molina, Isabel; Peña, Daniel


Book ID
120926928
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
218 KB
Volume
84
Category
Article
ISSN
0094-9655

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## Abstract A diagnostic procedure for detecting additive and innovation outliers as well as level shifts in a regression model with ARIMA errors is introduced. The procedure is based on a robust estimate of the model parameters and on innovation residuals computed by means of robust filtering. A M