Analytical Bayes estimator and distribution for outlier infested time series data

DOI10.1080/15598608.2008.10411891zbMath1211.62050OpenAlexW1999313870MaRDI QIDQ2431701

Raghunath Arnab, Dahud Kehinde Shangodoyin

Publication date: 18 April 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2008.10411891

zbMATH Keywords

Bayes estimatoroutlierconditional distributiongenerating modeltime series realization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Bayesian inference (62F15)

Cites Work

• Bayesian methods for change-point detection in long-range dependent processes
• Robust estimation and outlier detection with correlation coefficients
• Bayesian analysis of some outlier problems in time series
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