Asymptotic Analysis of the Forward Search

Johansen, Soren; Nielsen, Bent

doi:10.2139/ssrn.2221850

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Asymptotic Analysis of the Forward Search

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-01

40 Pages Posted: 22 Feb 2013

See all articles by Soren Johansen

Soren Johansen

University of Copenhagen - Department of Economics; Aarhus University - CREATES

Bent Nielsen

University of Oxford - Nuffield Department of Medicine

Date Written: February 10, 2013

Abstract

The Forward Search is an iterative algorithm concerned with detection of outliers and other unsuspected structures in data. This approach has been suggested, analysed and applied for regression models in the monograph Atkinson and Riani (2000). An asymptotic analysis of the Forward Search is made. The argument involves theory for a new class of weighted and marked empirical processes, quantile process theory, and a fixed point argument to describe the iterative element of the procedure.

Keywords: Fixed point result, Forward Search, quantile process, weighted and marked empirical process

Suggested Citation: Suggested Citation

Johansen, Soren and Nielsen, Bent, Asymptotic Analysis of the Forward Search (February 10, 2013). Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-01, Available at SSRN: https://ssrn.com/abstract=2221850 or http://dx.doi.org/10.2139/ssrn.2221850