A Variance Shift Model for Detection of Outliers in the Mixed Ridge Model

In this paper a variance shift model for examining a single outlier observation with in ated variance in the mixed ridge model is presented. The score test statistic is proposed to determine whether the ith observation has an in ated variance. A parametric bootstrap procedure is used to obtain empirical dis-tribution of test statistic and a simulation study has been used to show the performance of proposed test.

Keywords:

Variance shift model , Outlier , Mixed ridge model , The Score test Statistic , In ated variance.