A comparison of several procedures for identifying outliers in contaminated ARMA processes (Q1966014)
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scientific article; zbMATH DE number 1409720
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| English | A comparison of several procedures for identifying outliers in contaminated ARMA processes |
scientific article; zbMATH DE number 1409720 |
Statements
A comparison of several procedures for identifying outliers in contaminated ARMA processes (English)
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2 March 2000
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A systematic comparison of several procedures for identifying outliers in contaminated ARMA processes is given. Performance criteria for the identification method are discussed. Results of simulations for AR(1) processes under various outlier configurations are given. The use of outlier identification procedures is discussed in the appendix.
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outliers
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ARMA models
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identification
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simulation study
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0.8403471112251282
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0.839968740940094
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0.8285946846008301
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0.820820152759552
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0.793980598449707
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