### An Outlier Test for Linear Processes.

Thomas Flak, Wolfgang Schmid (1993)

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Thomas Flak, Wolfgang Schmid (1993)

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O.D. Anderson (1979)

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Bel, L., Oppenheim, G., Robbiano, L., Viano, M.C. (1998)

Journal of Applied Mathematics and Stochastic Analysis

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Herbert Vogt (1996)

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E. Dettweiler (1983)

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Zofia Ławniczak (1980)

Applicationes Mathematicae

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Thomas Flak, Wolfgang Schmid (1996)

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Arjun K. Gupta, S. Kotz (1997)

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J. Wesolowski (1989)

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H. Luschgy (1991)

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Nora Ni Chuiv (1995)

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Marta Ferreira (2013)

Discussiones Mathematicae Probability and Statistics

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In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailed MARMA. We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision. ...

Biao Zhang (1997)

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Kozlova, Marina, Salminen, Paavo (2005)

Electronic Communications in Probability [electronic only]

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