Detection and estimation of structural changes and outliers in unobserved components

DOI10.1007/S001800050030MaRDI QIDQ1979107zbMATH OpenOpenAlexFDO

Authors R. Kaiser

Publication date 24 May 2000

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001800050030

zbMATH Keywords

autoregressionchange-point detectionmoving averageoutliers

Mathematics Subject Classification ID

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

Review text

The author considers an additive trend decomposition model \(y_t=\mu_t+s_t+\varepsilon_t\) where \(\mu_t\) is a trend, \(s_t\) is a seasonal and \(\varepsilon_t\) is an irregular component of the time series \(y_t\). Both \(\mu_t\) and \(s_t\) are supposed to be generated by some ARMA model. The paper is devoted to the detection of outliers (considered as very large \(\varepsilon_t\)) and structural changes (long-term changes of ARMA parameters). The author proposes an algorithm of detection based on maximum likelihood estimation of parameters and detection of changes by maxima of sum-of-residual-squares statistics. He proposes to use the Kalman filter for ML evaluation. Results of simulation studies and real data examples are presented.

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Cites work

• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

Cited in

(2)

• State space models for time series with patches of unusual observations
• Exploratory tools for outlier detection in compositional data with structural zeros

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