Detection of outliers and patches in bilinear time series models
type: Item
instance of: scholarly article
title: Detection of outliers and patches in bilinear time series models
zbMATH Open document ID: 1191.94062
DOI: 10.1155/2010/580583
author: Ping Chen
author: Ling Li
author: Ye Liu
author: Jinguan Lin
published in: Mathematical Problems in Engineering
publication date: 2010-04-23T00:00:00Z
full work available at URL: https://eudml.org/doc/231506
review text: Summary: We propose a Gibbs sampling algorithm to detect additive outliers and patches of outliers in bilinear time series models based on Bayesian view. We first derive the conditional posterior distributions, and then use the results of first Gibbs run to start the second adaptive Gibbs sampling. It is shown that our procedure could reduce possible effects on masking and swamping. At last, some simulations are performed to demonstrate the efficacy of detection and estimation by Monte Carlo methods.
Mathematics Subject Classification ID: 94A13
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5700504
Wikidata QID: Q58653179
MaRDI profile type: Publication
OpenAlex ID: W2022365580
cites work: Bayesian analysis of some outlier problems in time series
cites work: Q4272822
cites work: Detection of outlier patches in autoregressive time series
cites work: Outlier Detection And Estimation In NonLinear Time Series
cites work: Fractal time series -- A tutorial review
cites work: Separable lower triangular bilinear model
cites work: Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
cites work: Detection of additive outliers in bilinear time series
cites work: Q3928089
cites work: An introduction to bispectral analysis and bilinear time series models
cites work: ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
cites work: DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
cites work: Q4158357
cites work: BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
Recommended article: Detection of additive outliers in bilinear time series
Recommended article: Synthetic detection of change point and outliers in bilinear time series models
Recommended article: Detection of outlier patches in autoregressive time series
Recommended article: Q5716492
Recommended article: Q5237661
Recommended article: Outlier Detection And Estimation In NonLinear Time Series
Recommended article: On outlier detection in multivariate time series
Recommended article: Q3110279
description: scientific article; zbMATH DE number 5700504