The Identification of Multiple Outliers in ARIMA Models
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Publication:4707037
DOI10.1081/STA-120021331zbMath1104.62326OpenAlexW2049027850MaRDI QIDQ4707037
Daniel Peña, María Jesús Sánchez
Publication date: 4 June 2003
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sta-120021331
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Related Items (8)
Unnamed Item ⋮ Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series ⋮ Influential observations in cointegrated VAR models: Danish money demand 1973–2003 ⋮ Bayesian inference in a multiple contaminated autoregressive model with trend ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Analysis of seasonal level shift (SLS) detection in SARIMA models ⋮ Innovational Outliers in INAR(1) Models ⋮ Comments on: Some recent theory for autoregressive count time series
Cites Work
- Missing observations in ARIMA models: Skipping approach versus additive outlier approach
- Outliers in multivariate time series
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
- BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
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