Outlier detection for stationary time series

DOI10.1016/S0378-3758(01)00081-7zbMath0989.62046OpenAlexW2052341697MaRDI QIDQ5955591

Kokyo Choy

Publication date: 2 July 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00081-7

zbMATH Keywords

maximum likelihood estimationspectral densityadditive outliersinnovations outliersSODAspectrum-based outlier detection algorithmstationary time seriesWhittle-type estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

A new non-linear \(AR(1)\) time series model having approximate beta marginals ⋮ Assessing influence in Gaussian long-memory models

Cites Work

• Time series in the time domain
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Estimation and information in stationary time series
• Outlier Detection and Time Series Modeling
• A New Method for Estimating Spectral Parameters of a Stationary Regular Time Series
• Intervention Analysis with Applications to Economic and Environmental Problems
• Bayesian analysis of some outlier problems in time series
• Effect of correlation on the estimation of a mean in the presence of spurious observations
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