Analysis of seasonal level shift (SLS) detection in SARIMA models

DOI10.1080/03610918.2016.1236952zbMath1407.91190OpenAlexW2523848473MaRDI QIDQ4607386

Amena Urooj, Zahid Asghar

Publication date: 13 March 2018

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

Full work available at URL: https://doi.org/10.1080/03610918.2016.1236952

zbMATH Keywords

outlierssimulationlevel shiftadditive outliertransient changeinnovative outlierPakistanSAR (1)seasonal level shiftSMA (1)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Analysis of the performance of test statistics for detection of outliers (additive, innovative, transient, and level shift) in AR (1) processes
• Modeling Time Series With Calendar Variation
• Outlier detection in ARMA models
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• The Identification of Multiple Outliers in ARIMA Models
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