A procedure for outlier identification in data sets from continuous distributions

We propose a procedure, based on sums of reciprocals ofp-values, for the identification of outliers in univariate or multivariate data sets coming from continuous distributions. Using results of Csörgő (1990), we find the limiting distribution of the relevant statistic for completely specified models. By simulations, we obtain approximate quantiles for the asymptotic distribution, (which does not depend on the specific model or the dimension …