A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS

DOI10.1111/J.1467-9892.1988.TB00458.XMaRDI QIDQ3777272zbMATH OpenOpenAlexFDO

Authors Bovas Abraham, Nihal Yatawara

Publication date 1988

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00458.x

zbMATH Keywords

likelihooddetection of outliersSignificance levelsaberrant observationinnovation modelsscore-testsimulated examplesstationary autoregressive moving-average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• Bayesian analysis of some outlier problems in time series
• Effect of correlation on the estimation of a mean in the presence of spurious observations
• Extremes and local dependence in stationary sequences
• Linear Statistical Inference and its Applications
• Testing the adequacy of a time series model
• The Lagrangian Multiplier Test

Cited in

(18)

• Detecting an innovative outlier in a set of time series
• An outlier test for linear processes
• A test for additive outliers applicable to long-memory time series
• Simple detection of outlying short time series
• Outlier detection in general spatial model
• Outlier detection in linear time series regression models
• A comparison of some estimators of time series autocorrelations
• Slope influence diagnostics in conditional heteroscedastic time series models
• Outlier detection for stationary time series
• scientific article; zbMATH DE number 472959 (Why is no real title available?)
• Outlier detection tests based on martingale estimating equations for stochastic processes
• A sequential testing procedure for outliers and structural change
• scientific article; zbMATH DE number 3954113 (Why is no real title available?)
• Outlier detection in ARMA models
• Maximum Studentized score tests for the detection of outliers in time series regression models
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