Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model

作者：Chiang Min Hsien; Wang Li Min^*

来源：Communications in Statistics - Simulation and Computation, 2012, 41(3): 287-301.

DOI：10.1080/03610918.2011.586481

• Additive outlier
• Duration
• Log-ACD
• Lognormal distribution

This study investigates the influences of additive outliers on financial durations. An outlier test statistic and an outlier detection procedure are proposed to detect and estimate outlier effects for the logarithmic Autoregressive Conditional Duration (Log-ACD) model. The proposed test statistic has an exact sampling distribution and performs very well, in terms of size and power, in a series of Monte Carlo simulations. Furthermore, the test statistic is robust to several alternative distribution assumptions. An empirical application shows that parameter estimates without considering outliers tend to be biased.

• 出版日期2012