[Statlist] RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

[Eva Cantoni]

RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

Organisers : .
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday April 11th, 2014
at 11h15
Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Bent NIELSEN
Oxford University

"Gauging the Impulse Indicator Saturation Algorithm"

Abstract:
Impulse indicator saturation is an iterative procedure for detection of 
outliers and other unsuspected structures in data. The idea is to run a 
sequence of least squares regressions in order to detect outliers. The 
algorithm is implemented in software and it is commonly used. The 
algorithm depends on a choice of critical values. Extensive simulation 
studies have been made to calibrate the procedure according to its 
gauge, which is the expected number of false outliers the user is 
willing to contemplate on average. Here, we will derive the gauge of the 
algorithm using asymptotic analysis.

Joint work with S. Johansen


Visit the website: http://www.stat-center.unige.ch/ResSem.html

-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://www.unige.ch/ses/dsec/staff/faculty/Cantoni-Eva.html