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Information criteria for outlier detection avoiding arbitrary significance levels

Riani, Marco, Atkinson, Anthony C., Corbellini, Aldo, Farcomeni, Alessio and Laurini, Fabrizio (2022) Information criteria for outlier detection avoiding arbitrary significance levels. Econometrics and Statistics. ISSN 2452-3062

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Identification Number: 10.1016/j.ecosta.2022.02.002


Information criteria for model choice are extended to the detection of outliers in regression models. For deletion of observations (hard trimming) the family of models is generated by monitoring properties of the fitted models as the trimming level is varied. For soft trimming (downweighting of observations), some properties are monitored as the efficiency or breakdown point of the robust regression is varied. Least Trimmed Squares and the Forward Search are used to monitor hard trimming, with MM- and S-estimation the methods for soft trimming. Bayesian Information Criteria (BIC) for both scenarios are developed and results about their asymptotic properties provided. In agreement with the theory, simulations and data analyses show good performance for the hard trimming methods for outlier detection. Importantly, this is achieved very simply, without the need to specify either significance levels or decision rules for multiple outliers.

Item Type: Article
Official URL:
Additional Information: © 2022 Elsevier B.V.
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 07 Feb 2022 11:51
Last Modified: 14 Jun 2024 07:21

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