One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

Statistics for detecting outliers generally suffer from masking when multiple outliers are present. One aspect of this masking is inflation by the outliers of estimates of scale. This shrinks test ...

Outlier detection algorithms are intimately connected with robust statistics that down-weight some observations to zero. We define a number of outlier detection algorithms related to the Huber-skip ...