Detection of additive outliers in bilinear time series

DOI10.1016/S0167-9473(96)00068-0zbMath0900.62468OpenAlexW2060467025WikidataQ128111254 ScholiaQ128111254MaRDI QIDQ1391800

Cathy W. S. Chen

Publication date: 23 July 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(96)00068-0

zbMATH Keywords

Bayesian analysisGibbs samplerAdditive outliersBilinear model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

The effects of outliers on two nonlinearity tests ⋮ Generalized Poisson autoregressive models for time series of counts ⋮ Bayesian inference in a multiple contaminated autoregressive model with trend ⋮ Sequential predictions of menstrual cycle lengths ⋮ Detection of outliers and patches in bilinear time series models ⋮ Outliers in functional autoregressive time series ⋮ Outlier Detection And Estimation In NonLinear Time Series ⋮ Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series ⋮ Synthetic detection of change point and outliers in bilinear time series models

Cites Work

• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Sampling-Based Approaches to Calculating Marginal Densities
• Intervention Analysis with Applications to Economic and Environmental Problems
• Bayesian analysis of some outlier problems in time series
• Bayesian analysis of bilinear time series models : a gibbs sampling approach
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• A new look at the statistical model identification
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