Sequential Outlier Detection in Non-Stationary Time Series
Fuente:
arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866917935864348672 |
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| author | Heinrichs, Florian Bastian, Patrick Dette, Holger |
| author_facet | Heinrichs, Florian Bastian, Patrick Dette, Holger |
| contents | A novel method for sequential outlier detection in non-stationary time series is proposed. The method tests the null hypothesis of ``no outlier'' at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme value theory. The asymptotic properties of the test statistic are studied under the null hypothesis and alternative. The finite sample properties of the new detection scheme are investigated by means of a simulation study, and the method is compared with alternative procedures which have recently been proposed in the statistics and machine learning literature. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_18038 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Sequential Outlier Detection in Non-Stationary Time Series Heinrichs, Florian Bastian, Patrick Dette, Holger Statistics Theory Methodology 62M10, 62G10, 62L10 A novel method for sequential outlier detection in non-stationary time series is proposed. The method tests the null hypothesis of ``no outlier'' at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme value theory. The asymptotic properties of the test statistic are studied under the null hypothesis and alternative. The finite sample properties of the new detection scheme are investigated by means of a simulation study, and the method is compared with alternative procedures which have recently been proposed in the statistics and machine learning literature. |
| title | Sequential Outlier Detection in Non-Stationary Time Series |
| topic | Statistics Theory Methodology 62M10, 62G10, 62L10 |
| url | https://arxiv.org/abs/2502.18038 |