Detection of Outliers in Multivariate Data when the Errors are Autocorrelated

SYNOPTIC ABSTRACT

Procedures for detection of outliers in multivariate data with autocorrelated errors are given for mean-slippage and dispersion-slippage outlier model. The distribution of the test statistics are discussed and the values of significant probabilities are given using Bonferroni's bounds. An example with real data is presented.

Keywords and Phrases:

• mean-slippage outlier
• dispersion-slippage outlier
• likelihood ratio test
• autocorrelation
• Bonferroni's bound