Understanding the effect of time series outliers on sample autocorrelations

DOI10.1007/BF02563108zbMath0839.62084MaRDI QIDQ1906312

Wai Sum Chan

Publication date: 23 June 1996

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

identificationadditive outlierslevel shifttime series modelssample autocorrelationsinnovational outliersArma modeltemporary change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Jump detection in high-frequency financial data using wavelets ⋮ Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models ⋮ Bayesian inference in a multiple contaminated autoregressive model with trend ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Forecasting volatility in GARCH models with additive outliers

Cites Work

• Joint Estimation of Model Parameters and Outlier Effects in Time Series
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