Detection of outliers in linear model when the regression parameters are stochastic

Abstract

Procedures for detection of outliers in linear model with stochastic regression parameters are given for mean-slippage and dispersion slippage outlier model. The distributions of the test statistics are derived and the values of significant probabilities are given using Bonferroni's bounds and Doornbos's bounds. Some simulation results are also presented.

Keywords:

• Mean-slippage outlier
• Dispersion-slippage outlier
• Likelihood ratio test
• Bonferroni's bound
• Doornbos's bound