A Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers

DOI10.1081/SAC-200033317zbMath1101.62364OpenAlexW2152639932MaRDI QIDQ3155632

Prasad V. Bidarkota

Publication date: 17 January 2005

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sac-200033317

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Recursive Bayesian estimation using Gaussian sums
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Two Methods for Examining the Stability of Regression Coefficients
• A COMPUTATIONAL METHOD FOR ESTIMATING DENSITIES OF NON-GAUSSIAN NONSTATIONARY UNIVARIATE TIME SERIES
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

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