Scalability Properties of a new Forward Search Algorithm
We propose some computational improvements for a robust method for the identication of atypical observations known as forward search, which is based on the idea of monitoring quantities of interest, such as parameter estimates and test statistics, as the model is tted to data subsets of increasing size. We provide a recursive implementation of the procedure which exploits the information of
the previous step and we demonstrate the computational advantages of the new approach using both synthetic and real data.
PERROTTA Domenico;
RIANI Marco;
CERIOLI Andrea;
TORTI Francesca;
2013-11-21
Publisher Centre of BSU
JRC84892
978-985-553-137-2,
https://publications.jrc.ec.europa.eu/repository/handle/JRC84892,
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