A Note on“Trial by Computer”—A Case Study of the Use of Simple Statistical Techniques in the Detection of a Fraud
作者:
AndersonOliver D.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1986)
卷期:
Volume 37,
issue 4
页码: 423-427
ISSN:0160-5682
年代: 1986
DOI:10.1057/jors.1986.70
出版商: Taylor&Francis
关键词: autocorrelation;first differencing;Granger's Lemma;integrated process;over-differencing;residual variability;step model
数据来源: Taylor
摘要:
AbstractWe look at a statistical aspect of a recent case study. Although our discussion does not invalidate the general conclusions obtained there, it does suggest that the time series modelling may have been sub-optimal, and indicates how an alternative model specification could more probably have generated the sample statistics that were actually observed. The implication of our remarks is that discrimination between deterministic and stochastic non-stationarity, even if overlooked on preliminary inspection of the original data, will also be apparent from the raw sample autocorrelation plots.
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